If I download Comado do I need to shut windows firewall down?
Yes. Comodo replaces Windows firewall. If your system has the latest security fixes and a hardware firewall (internet router), it's safe to disable Windows firewall temporarily.
...a firewall isnt needed cause its built into the router.
A software plus a hardware firewall is highly recommended. There are a number of security problems a software firewall handles that a hardware firewall does not. For complete protection, antivirus software and a software security monitor (i.e. Secunia PSI) are also recommended.