What an odd question. First, you are being a little confusing, so let me clear some things up, if I'm wrong, let me know. The Firewall isn't on the router, it is a software package you installed on your PC. The router page on Amazon says it has a firewall included, but never talks about it when it is discussing the hardware and from what you've said, it seems to be installed on the PC.
Ok, given that, the firewall and DVArchive will not work together, you will need to give DVArchive access by opening the ports or just don't use the firewall.
The router does provide some security via the NAT server. Because things outside of the server can't contact things inside the LAN because they don't know what is there and can't access it with the server's IP address. So that does give you one layer of security. A hardware firewall would be better, because some attacks still can bog down a NAT server, but a firewall would be able to ignore them.
A firewall software, if it is a good one, can really add another huge level of security because it can watch communications both in and out of the PC.
It really depends on if you have a virus scanner installed and up to date. If you don't, that would be a better place to start than a personal firewall.