Zonealarm Pro is worth the money anyway.. for most users... kinda like set and forget thing. I am still using 4.0.146 didn't wanna upgrade coz have been reading up on newer versions and it sucks!
Kerios Personal Firewall is free also and it's GOOD. ICS no problem. But just wanna make sure, have you actually configure zonealarm for it to know which is the server machine, which is the client etc blah blah blah? The thing i hate about zonealarm is its database file located in the windows directory ALWAYS corrupt for no apparent reasons. But hey it's either u love it or hate it kinda thing.
The best firewall imho is a router with built in firewall. Although still penetrable to hardcores, it would work against most wannabe hackers out there i hope...