I have to disagree with hnd a bit -- Proxy Servers are not a security solution. You should definately think about using one, it will help reduce the load on your T-1 line by locally caching web pages, but it is not going to protect you from the bad guys.
You are correct in thinking that you need a firewall - you only need one - between your router and your users. There are a bunch of firewalls to choose from, ones that run on Win95/98/ME (definately stay away from making a firewall out of one of these for your business), WinNT or Linux. My personal preference is Linux using IPTables, however, you may not be familiar with Linux - stay with an OS you are familiar with. I am not sure of the best (inexpensive) firewall for NT - I just deal with the ones that are tens of thousands a piece.
Some of the names I have heard floating around are Black Ice, Zone Alarm, WinRoute (I think that's the name of it - not sure if it runs on NT)
Actually one of the first things that you can do is put Access Control Lists on the Router. You can limit somewhat the traffic that can flow across the router.
Make sure that whatever solution you put in (NT or Linux) you tighten down the base OS -- ie turn off any unnecessary services - the firewall should not run telnet, ftp, finger, rpc, etc etc etc.
You might also want to consider talking to a consultant about what your solution should be and possible have them install it. Security can be a tricky proposition - there are a number of little things that need to be addressed. Spending a couple thousand to get the infrastructure in place could pay for itself with the first unknown attack...
I hope this helps a little bit,
Paul