These days with everyone nearly on broadband that comes with a router/modem you get free has a built-in firewall which, if your tech savvy you can tweak to your liking.
Gone are the days when you needed a software firewall like Zone Alarm while you connected with a straight modem plugged in your pc.
p.s. I just realised that my first post isnt exactly clear. If you have a router/modem connected you your computer either by network cable or wireless and want extra security look in the router/modem manual, google info etc. on how to set up and use its firewall and dont bother with Zone Alarm (keeping windows firewall running is fine also, easy to use and adds a lil bit more security).
Windows firewall is adequate but just that. Zonealarm is much better but will conflict with Windows firewall so turn Windows firewall off. Zonealarm will give you much better control and will detect programs that have changed (because of a virus) and let you control access to and from the Internet.
A hardware firewall on your broadband is also a good idea, but not so good just on its own as it generally won't know what is connecting to the Internet, so a virus or trojan, key logger etc will be blocked by Zonealarm but not by the hardware firewall because it does not know which application sent it, be it the virus or Internet Explorer