I always like to keep things simple so it wouldn't do any harm to uininstall your speedtouch (I'm assuming netgear has built-in adsl modem so you won't need your speedtouch installed).
RE: firewall, you can have a 'software' firewall like zonealarm as well as the hardware one in your firewall. Some people do that but it is probably overkill and means two sets of things to check/modify when you need to do so. Bear in mind though that your hardware firewall probably isn't as 'simple' to use as zonealarm and it won't really have knowledge of your applications. It also won't stop things once they are on your PC from dialling out - whereas zonealarm would normally ask you if it was ok. If you feel more comfortable leave both running, there's really no harm.
Usually you set a wireless router up first before the wireless card. In fact you often have to plug in the router wired first to configure it. Do you have the instructions with the router? It should really advise you about that, but i'd get router working first then wireless PC card.