Gotta put in a little on two points.. first, Inno.. I have to strongly disagree. I have run both Norton and ZA.. Norton was intercepting several attempted SubSeven breaches, but in the last few versions of AH, my ping suffered greatly. ZA solved the problem, and gives me a more detailed idea of intrusion attempts, which are suprisingly frequent (port scans, etc.), and it requires little configuration to work right. "Feel good" or not, I feel better even semi protected rather than not protected at all, and having no freakin clue when someone is trying to access my system.
As far as setting up ZA, I had to go to Program Control, click the Programs tab, Add Aces High, enable the appropriate permissions, then right click on it and check the "Changes Often" option, as well as the verify by pathname only option. Works like a charm.