Do the PC and the Replay have real public IP addresses, or is the router NATing for them ?

If the router is NATing then it reduces the importance of having a firewall anyway. With NAT in place nothing should be able to make incoming connections to the PC or Replay.

Does the router not have a builtin firewall itself ? If so the only additional thing running Zone Alarm on the PC will give you is some protection from spreading trojans to other people. If you really want Zone Alarm on the PC then you don't need to buy the Pro version, the free version will give you all of the protection of the Pro version (though without some of the flexiblity).