NAV2006 has no firewall - NIS2006 (Norton Internet Security) does, and includes NAV in the same package.
Depends what you want - I've used NAV & NIS for years without problems, but some folks hate it. Never used ZA. Some folks swear by it
Some folks say it is never a good idea to use 2 firewalls at the same time.
I run NIS 2005 (with adaware & spybot as free software), and my router has its own basic firewall.I disable Windows firewall. Never been infected with anything nasty at all.
You have to follow instructions carefully if you install a new version of NIS over an old version of NAV.