My opinion is to forget about winxp firewall and try these
i hope we have the same version
open ZA
go to section Firewall at tab Main
set Internet Zone Security ->High
set Trusted Zone Security ->Med
on section Program Control at tab Main
set Program Control->Med
set Automatic Lock ->Off
click on the button advance
at the tab Access Permisions
set everything to 'Always ask for permision'
at the tab Alerts $ Functionality
check all choises
on section Program Control at tab Programs
set everything to 'Ask'
on section Alerts & Logs at tab Main
check anything you want, its just the logs
on section ID Lock
set ID Lock to Off
close the window and be sure its running along with the TrueVector Service
now every time a program tries to access the internet or the lan, ZoneAlarm will ask you if you want to let the program access the net,
if you use this program often or is a service like svchost or alike, before you press the 'Yes' button to let it access the net, check the 'Remember this answer the next time i use this program'
In a few days of use everything will be set without any problems.
Now the different between ZA and XPFireWall
My personal opinion and it means you dont have to adopt it
Is that the first is a firewall and the second is not.
check this out
So dont stop using ZoneAlarm
Good Luck