how do you know if a hacker hacked in your computer?

ok i went to the hacker lounge in a yahoo messenger chat room and i instant messeged someone trying to get help, and he said that he was gonna hack in my computer but i dont know if he was joking, i have zone alarm pro 4, i keep it updated and the security settings are on high. I was just wondering how to tell if i was hacked or anyone for that matter. can zonealarm pro 4 be breached in any way by any type of hacker no matter their skill level is? plz help me ...