>I agree that a hardware firewall is probably better protection than software like ZoneAlarm, but the main point is that ZoneAlarm is better than having nothing at all.
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Definately. One good place to go to have your ZoneAlarm configuration tested is GRC.COM. Steve Gibson also gives a pretty good narative on how firewalls actually work. I also want to make the suggestion that the "free" edition of ZoneAlarm is far less configurable, and less sophisticated, than ZoneAlarm Pro. We have found the differences to be like night and day.
Purely rumour, of course, but there is a page on GRC (the personal firewall page) that states MS is supposedly including a personal firewall in Whistler, the next version of Windows.