Are there certain files I should look for on my computers to see if they were infected?

A good "all files" scan of drive C with the latest virus-scan updates should be enough.

And despite what else has been said in this thread, It is indeed possible that the friend who you gave the address to could be the source of the attack. You don't necessarily have to be running a web server to be the victim of a web-aware virus. The newest versions of these viruses are "swiss army knives", trying many possible exploits simultaneously.

Something to remember about these viruses, they exploit known security holes in the operating system and web server software, so just as important as keeping your firewall/scanner software updated is keeping the operating system itself properly service-packed using the http://windowsupdate.microsoft.com site.

The reason one would wish to use a Nat/Firewall router is because things like Zone Alarm and keeping your OS updated can't catch everything. For instance, it didn't catch the empeg, and it can't catch certain other "hole-ridden" applications that might run on your system. I mean, most systems have lots of different pieces of third-party software running on them, and rarely does one know if all these applications are secure. A Nat/Firewall box will take care of it all in one fell swoop.