Tekno, I believe that the XP firewall is a stateful inspection firewall, and just because you have a hardware firewall you really should run a software one as well. It's just another layer of protection, you can't be too careful.

Edit: Try BlackIce, I really liked it.

BTW: Gore, what's wrong with ZA, I always heard good things about it. I'm just curious since I have a rather limited experience with firewalls.