Hmm, I'm not a networking genius, so be sure to get a second opinion, but I use firewalls ON my computer to secure the computers. I use MAC address filtering to secure my network thus relieving the router of having to be a firewall.
If you don't know what a MAC address is, it's a unique string of cryptic looking hexadecimal pairs that is associated with (among a surprising amount of other things you don't really need to know about) your network cards in your computers and, yes, the Wii.
In my routers configuration page, I enable MAC address filtering and then enter the MAC address of every item I wish to allow to connect to it.
So. Router governs what connects to network, and then the individual computers worry about what connects to them (firewall).
I allow my Wii to connect to my network and haven't had any troubles with it.
This was a quickly typed (for a technical subject) answer, so if you have further questions (such as "what the hell are you talking about, Ock?") just post 'em up and I'll try to stop back by soon.
Cheers,
Moi