Network help?

I am awaiting a wireless router from my ISP but I dont know how I go about setting comodo firewall up to recognize and allow the network, could you give me some help regarding things I need to do to get Comodo to work with it and what I need to do to secure my router (ie encryption etc)?

ps I have heard that even though the firewall stealths me, the router still shows my presence online (pinging the router reveals my location) is there any way of stealthing the router as well or is this something that cant be prevented?

Can Comodo Firewall V2.4 defend a wireless network or should I use it in conjunction with a hardware firewall, also do most wireless routers come with hardware firewall built in?