If you only ever connect to the Internet through your desktop then it should be OK to just firewall that. If you want to dial-up directly from the laptop, you probably want to FW that as well.
What interests me particularly is not the unwanted connections coming IN to a typical net-connected PC these days, but the number of unexpected connections GOING OUT ! All those pieces of software connecting sites to register themselves, including all the details that they can find about you on the machine, etc while they're at it
FWIW, I use Tiny's Personal Firewall (
http://www.tinysoftware.com/)