you should not run windows firewall and zone alarm at the same time. Go into control panel windows firewall, and turn it off. If you register with zone alarm you get free updates to keep up your protection.
Any good commercial firewall worth it's salt will have more features than WinXP SP2 firewall.You will be OK by using XP firewall most of the time, but if you can, get a commercial one ( McAfee , Norton, FSecure, Panda etc ) or a good freebie such as Zone Alarm.
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