Yes, a firewall would prevent file sharing if properly configured.
Note that it doesn't matter if you have broadband access or not - even over a 14.4 modem, if you have file sharing on etc (and no firewall), I can map your drives. Broadband access only makes the process a little quicker (and is more commonly "always on"
I'm currently not running a firewall - ZoneAlarm et al do not allow other PCs to access the connection (eg, Windows' "Internet Connection Sharing", where it acts as a gateway). Besides that, I wouldn't trust a Windows based firewall... I normally run a *real* firewall on my BSD box, but my modem doesn't like that box for some reason... so I gave up for the time being...
I don't do *any* file sharing over the network card that connects my modem. When I transfer files to the car PC, I have that on a separate subnet, with sharing enabled only on that network. This prevents being able to mount my shares from the net.
At any rate, firewall or not, any file shares should be password protected. A false sense of security is worse than no security at all. For example, suppose you leave for a while, and ZoneAlarm or BlackICE or whatever decides to crash. Perhaps someone found an exploit that will crash the program. Now suddenly your system is wide open, and Mr. Hacker is downloading your sensitive files. Always have more than one line of defense