I've got Zone alarm on my main desktop machine and haven't had any problems at all, just the occasional question when a new piece of software needs to connect to the net. (Particularly usefull for ill-gotten software that wants to connect to check it's authenticity, if you know what I mean ).

The only time I had trouble with it was when I got KDE 2 running on Cygwin, lots of server requests to authorise!

I could definitely recommend Zone alarm it can even talk to my routers built in firewall, which is nice...