Let's put this bluntly shall we?
No firewall will ever be able to keep everyone out. Large companies with security budgets probably higher than your annual income still manage to get hacked. If a bunch of trained professionals with some real top of the line gear can't stop it, don't even bother thinking that something like ZomeAlarm is going to be more than a 5 minute challenge (if you're lucky and get a stupid hacker).
Now, assuming someone was for some reason actually interested in your system. Chances are, you either did something stupid and provoked this attack, or it's someone you know rather well who's pissed off at you. The chances of an actual person singling you out randomly is probably lower than being struck by lightning twice in a day.
Further assuming it was someone good enough to get into your system, don't you think they would be good enough to cover their tracks well enough that you wouldn't be able to follow them?
I know a lot of computer magazines make it seem like the big bad hackers are waiting behind every corner to leap out and steal credit card numbers and that sort of thing off your system, but the truth is, there's really a very small number of actual hackers, and they're a dying breed. Script kiddies are the new wave, and they couldn't hack if their life depended on it most of the time. They use tools written by other people, which exploit known flaws in Windows (or any other OS theoretically) to create zombie PC armies. The whole process is automated, but of couse in order to convince you of their worth, the firewall will use terminology designed to envoke fear. If you keep up on your Windows patches and avoid using IE like the plague, that shouldn't be a real threat.
Just do the best you can with security... Keep an AV program up to date, don't use IE or Outlook Express, don't use programs with spyware, don't go pissing the wrong people off in chat rooms, install the latest updates for Windows/IE religiously... If you do that, then you can know that you did pretty much everything possible to stop 99% of the annoying stuff out there, and if an actual person wanted into your system, there wasn't anything you could have done anyway.