Cable Routers w/ Firewall

Im running a Linksys 4port cable router and everything seems fine and all but some co-workers were telling me that I can still get probed (not sure how exactly) and they recommended that I use a firewall solution as well.  So Ive got Zone Alarm Pro and I decided to throw it on my PC and nuthin worked.  I even set IE to allow internet and still nothing.  The only way I could get out to the internet was to disable the vector monitor service, take Zone Alarm out of startup and log off, then log on again.  Is it really worth it to have Zone Alarm?  I did like the alerts and features but its a headache so far.