kwinsw,
I can't speak for Mcafee's firewall, but from personal experience, ZA and Norton's firewall solutions aren't that bad at hogging resources. I've configured both on many PC's without noticing any major slowdowns.
Norton is slightly worse off than ZA in terms of resource management. However, in this day and age, the average PC over 2GHz isn't going to notice, unless the PC is already bogged down with too many apps at startup to begin with.
As for the Windows built-in firewall...
I would say that it is fairly secure from incoming attacks. However, incoming is hardly the worst of your concerns nowadays. Most attacks are planted within files you download or actions you execute on the web, compromising your PC from within, then sending unauthorized packets of data to the hacker. So getting a software app that monitors outgoing packet data is worthwhile regardless if you're behind a router or not.
~cdogg
"Insanity: doing the same thing over and over again and expecting different results." - Albert Einstein
[tab][navy]For general rules and guidelines to get better answers, click here:[/navy] faq219-2884