Great News!
I just finished a lot of testing with only WinXpProsp2's built in Firewall combined with my Netopia's router/firewall and Avast's WebShield and I'm happy.
I did port scans with and without ZA and I faired better without ZA. Apparently it opens some ports that are not huge risks, but I don't need them open. Without ZA I'm quite secure except my router keepds the telnet port open, but I keep it disabled and blocked on the PC LAN side.
Go figure - all this nonsense and I might dup the ZA if I can deal with the loss of decent application control, web bugs and some banner ad control. LOL