Thanks guys, that was very quick and informative.
In answer to Pondus's first post, I have Vista and was relying on the Windows Firewall. I ran LeakTest today and it said it could penetrate the firewall and reach the main GRC.com web server, whatever that is. I figured the Windows firewall wasn't effective and that's why I downloaded ZoneAlarm. Now I've run LeakTest again and it still gives the same "Firewall Penetrated" message, so it seems downloading ZoneAlarm was a dead loss anyway. (I have found I can deactivate the AV section and have done so, but the firewall is active.)
Is that LeakTest report to be taken seriously?