Check out these reasons why firewall is need for these days:
1. A firewall protects your computer from unauthorized remote access
2. It can block messages linking to unwanted content
3. It makes online gaming safer
4. You can block unsuitable or immoral content with a firewall
Reason 1 is true (although it is not necessarily total protection in that area), the Reasons 2,3,4 are totally false - products calling themselves firewalls might may do those things, but they would be additional protection in addition to the product's firewall functions.
Reasons 2,3,4 are protected against by other functions of Internet Security packages (Such as the KTS mentioned by the OP).
A firewall vets inbound and in many cases outbound connections to/from your computer to check that the connection is appropriate. It does not examine user content of traffic.
As RolandJS said. Windows 7 and above have a firewall which is sufficient for ordinary use. Some Internet security packages will include a firewall component that replaces windows firewall.
You definitely need a firewall on any portable computer/device that will connect to untrusted internet connections. I would very highly recommend continuing to use a firewall on your own 'trusted' internet connection, albeit with the more relaxed settings that these firewalls impose on such connections.
On your home network, most routers will use NAT (which, whilst not being NATs primary reason to exist, has a side effect of blocking random unsolicited inbound connections - which are the greatest risk). Use this in addition to at least the Windows firewall (to cover the gap left by the relaxed firewall settings that will exist when your system is on a private network).
I've talked about trusted/private connections - That is one of the things that Windows network location awareness assists with and why network adapters and wifi connections are classified as private or public by windows. Windows firewall takes that into account to decide whether to allow the more permissive settings that for example are required for content sharing at home. Other IS packages such as KTS have similar grades of protection based on which network you are connected to.
For avoidance of any doubt - a firewall will NOT protect against malicious content pulled into your computer by (for example) making a web request or your email client retrieving a dodgy email.
(note I've simplified a few explanations above and written in the context of a fairly normal home set-up, as opposed to more advanced or corporate configurations)