You may be mixing your terms.
A DSL modem may not have a firewall or router inside. What most people need is a "broadband router". The DSL or cable modem plugs into the wild side (WAN) of the router, and then your computer plugs into the safe side (LAN) of the router. Most of the broadband routers out nowadays include reasonably robust firewalls IF THEY ARE CONFIGURED PROPERLY. I can't stress proper configuration enough, since most broadband routers ship with default passwords that are either blank or something silly like "admin", and even worse, some ship with remote administration turned on with the same default passwords, so anyone on the internet can get in and change all your router/firewall settings. You gotta turn all that stuff off, change the passwords, etc. before you can trust your broadband router.
After that, running a software firewall is personal choice and is mostly protection within your lan to help out in case you run a trojan horse (bad email attachment, bad web site, etc) and that may help prevent a virus/trojan from within your own lan killing all the computers you have hooked up on the same subnet. But a software firewall inside a hardware NAT router/firewall probably isn't really doing anything for you as far as keeping out external attacks. Neither will help you if you open an email attachment or execute malicious code on your own though.
