Secondly, I want to run Zone Alarm Pro, but the problem with that is it does not allow MS Outlook 2003 to download emails, please also advise in this regard.
As a firewall I would recommend Kerio Personal Firewall.

I've downloaded it after reading about it in other posts on this forum and it's working great for me so far! I'm also using it in combination with Win XP - SP 2, and it seems to be running without any problems.

You can download it from here:
http://www.kerio.com/us/kpf_download.html