is that it only works in one direction. It stands at the gate watching for something trying to get in, but completely ignores what's going on behind its back - anything trying to get out will have an unobstructed exit.
What you need is a proper firewall - which watches any attempts at traffic on your machine, whether it's inbound or outbound.
click here and download the free version of a firewall called Outpost. In my opinion it's the best of the free firewalls, and I use it on all my office machines.
Don't attempt to install one firewall whilst you have another one active on your computer - uninstall Zone Alarm and anything else that you've tried, and deactivate the WindowsXP firewall before you install Outpost.
Then sit back and relax.