Generally it is recommended that you NOT use ZA with an external firewall. It can cause some strange behavior. However, I know of several people that do this without problem.
In lieu of ZA, I too use the Linksys firewall with good results. I also run AVG's free antivirus, and run spybot S&D weekly. INHO, AVG kicks Norton's or McAfee's butt in being a lean and excellent AV product. It checks incoming emails and has actually detected trojans that McAfee missed on my girlfriend's computer. With this complement of apps, you should be fairly well protected.
Of course, the best security is common sense. Do not openany attachments from people you don't know. And don't open any attachments from people you do know unless you are expecting them, or know they are clean.
I refuse to use Outhouse Express on my computer and recommend a real email client that does not allow trojans, worms and indecent scripts to just automatically run. Mozilla has an aexcellent, free client that is a world more secure than any Microsoft product.
I also refuse to surf the net with Internet Destroyer, preferring instead Mozilla, or using the Avant skin for IE which locks down a lot of the inadequacies.
Hope this all helps.
When in doubt, deny all terms and defnitions.