Best way to set up network

[MrBlobby]

Running WindowsXP
If I have a modem router M and computers A and B

My setup is as follows
A-M-B

however Windows says this an insecure way of sharing info between A & B and I'm finding it difficult to configure my firewall.

Is it worthwile have a NAS box (C) and having a setup like this, i.e. everything goes through the NAS box. Or am I talking arse ?

M
¦
C--A
¦
B

 

[MrBlobby]

It's a modem router. I'm not sure how to allow traffic from one computer to the other whilst firewalling the internet. I'm using Kaspersky 2010 internet suite.