All wireless routers include a firewall of sorts. However, this firewall on most wireless routers only really works for blocking incoming data. All outgoing data goes right through the router.
The software firewall on your PC protects you against attacks from other PC's on your LAN or at a wireless hot spot. It also filters outgoing traffic, which most (not all) wireless routers do not do. Other than making configuration a bit more entertaining, there's nothing wrong with running both the firewall in the wireless router and the software firewall on the PC.