* Turned off Windows' own firewall and ZONE ALARM before installing the third paty ones ?
to prevent conflicts, you should really have only one firewall running. I would use ZONE ALARM only, but it's your choice.
* Disabled your anti-virus before installing the firewalls ?
Ive got an XP Pro system and have decided, to install a thrid party firewall, have tried Jetico Personal Firewall, Sygate personal firewall, and ZoneAlarm, with every application i have been recieving the Dreaded BSOD either during the install process (ZoneAlarm twice decided it wasnt worth it after that) during the config of the Firewall (Sygate and Jetico) and also when trying to logon after BSOD appeared during config of Jetico 3 times both loggin on as administrator and myself. After each one gave me numerous BSOD i uninstalled it and then tried another program thinking it was not SP2 compatible or there was an error in the install process.
Is there any reason for this happening, last time i recieved BSOD it was to do with my video drivers when playing high detail games, but this time it seems to be firewall orientated.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic