Firewall software IS important. Simply put, It helps prevent your computer from being attacked by monitoring incoming data and connections to your computer.

I am not familiar with Lavasoft, but I use both Norton's and ETrust's Firewalls with Party Poker with no problems. Most firewall software will automatically help you setup the permissions on software that accesses the internet.

If you have a fairly new computer with XP you should already Windows FW installed, although I have never used it.