I would say that routers are used more and more by those who are informed. Routers do come with SPI (Statefull Packet Inspection), look it up if you don't know what it means.
Not with any router that's running SPI.
Do you know what SPI is?
You have not explained why the XP FW it's better. XP's FW may be on par with a NAT router that's running SPI.
You can't read and understand English.
Well, the AV that I use has IMON (Internet Monitor) that will detect anomalies coming in the TCP connection, stop it and allow me to terminate the connection. This allows be to use an email proxy client application to go to the ISP's email server and delete the suspicious email. The email never reaches my machines.
An infected or dubious file can be downloaded from a FTP site. Do you think it cannot happen?
That's you. You make your own bed and you lay in it. One doesn't rely on detection software like a crutch, but they don't hurt in the prevention.
For a machine that has a direct connection to the modem and to the Internet, a user would be some kind of fool not to run what an AV and some kind of PFW/personal packet filter or XP's FW/personal packet filter, if using the XP O/S or some other MS NT based O/S.