This depends on your router. This utility is just a driver for a series of EnGenius routers that will help your computer to easily recognize and work with your device. Usually, all routers have a built-in firewall but there are cases when this feature might miss. To know for sure, in your case, it's advised to check the official website of the manufacturer and look for your device. On the description page you should find all the available information regarding the firewall. Also, you can connect to your router's configuration address (like 192.168.1.1 or 10.0.1.1; this is different from a manufacturer to another) and under the Security tab you will find any option related to the built-in firewall of the device.
