If the router has a firewall, there's no need for ZoneAlarm. Also, while you're at it, you'd probably do well to dump Norton for something else as well. Quality control at Symantec has been in a nosedive for years, as evidenced by some recent high profile blunders that should never have been allowed to happen, which are quickly becoming the rule rather than the exception. You can replace it with whatever you like, the threat from viruses is being eclipsed by malware, but since you seem sensitive about your system's performance, I would steer clear of McAfee.
Also, when you uninstall ZoneAlarm, be sure to switch off XP's firewall as well.
I have windows XP on my computer, and I also have Norton 2005 anti virus and zone alarm firewall. The two appear to be interfering with each other and my computer is really slow to start up. I have a wireless network (Belkin Wireless Pre-N router) and I was wondering as the router has a firewall built in can I safely get rid of zone alarm. My windows update also wont work properly now, every time I run it the software downloads ok, but it wont install.