Some DSL modems have a router built in. Routers are beneficial because they act as a firewall, too. So if Andrew's modem has a router built in, he's good. If not, then a router is important because it stops a lot of internet malware hacking attempts. Andrew is wondering if he could go without a router, and rely on Nod32 for his security. Leo says that he shouldn't, but he should also turn on his Windows firewall because that would also protect him from any computer that are corrupted and on his network. It blocks internal and external 'bad guys'.
Ultimately the last line of defense is going to be his online behavior, so he should be smart about where he goes and what he clicks on.
(Disclaimer: ESET's Nod32 is a sponsor).