Keep in mind that I'm recommending the firewall box not for the empeg, but for any actual computers on the network. As I said, if your local network is open to the internet, the empeg is the least of your worries.
Anyone with a broadband always-on connection should, at an absolute minimum, be hiding behind a NAT layer. That's just my generalized advice. Products like ZoneAlarm are nice, but they're not the whole solution.
One other note: if you still want your friends to download from the empeg, and it's behind the firewall, you will need to do some configuration tricks to get it to work for them. Either create a DMZ (usually used for web servers on firewalled networks, which, actually, that's what the empeg is doing in this capacity), or by doing port forwarding or something like that. This hopefully will be covered in the manual for the firewall.