The basic consensus is to shut the SP2 Windows Firewall off and use Zone Alarm because Zone Alarm blocks both incoming and outgoing whereas Windows Firewall blocks only incoming.
This is a copy and paste from Microsoft.
"Q. Should I use both the built-in firewall and a software firewall from a different company on my Windows XP computer?
A. No. Running multiple software firewalls is unnecessary for typical home computers, home networking, and small-business networking scenarios. Using two firewalls on the same connection could cause issues with connectivity to the Internet or other unexpected behavior. One firewall, whether it is the Windows XP Internet Connection Firewall or a different software firewall, can provide substantial protection for your computer."
I have obtained a copy of SP2 from my friendly computer shop and will install tomorrow. Will the SP2 firewall run along side Zonealarm? Has anyone disabled the SP2 security programs and kept their old security programs? What is the general consensus on this?