the SmoothWall firewall, but having read the setup guide, I would guess the router would need to be set to it's gateway configuration. Having two DHCP devices on the same network would only confuse things.

While it is nice to have a dedicated firewalling device on the network, I find it's use somewhat unnecessary since you already have a router which can serve the same purpose. Running an additional machine all the time for this reason seems somewhat wasteful and requiring of additional support. SmoothWall was developed when routers were quite expensive and this was a cheap fix.