I had the same problem with Zone Alarm until I went back to the verison WITHOUT he security tab for Zone Alarm and PC.....something.
Your router can not be hit from the outside unless a Trojan Horse slips thru and opens a port and thats the only reason for a software firewall backup to stop outbound traffic.
Just be careful about where you download stuff and run a spyware program such as "Ad Aware" to clean your machine.