Zone Alarm is one the best firewalls out there... it does indeed eat up system resources but what are you going to do :nixweiss
There are lighter alternatives out there. I'm not exactly sure of the name, but I believe there's one called "Kerio Personal Firewall." I think it might even be free, but I also believe it was discontinued (but should still work with XP).
Personally, I don't run a software firewall other than XP's excuse for one. My actual firewall comes courtesy of my USR5461 router... a hardware firewall, which is better than software firewalls (except for outgoing protection), and doesn't use up your system resources. Of course, there are cons with hardware firewalls as well, but yea.
Do you have a router, such as a wireless router? It may already have a built-in hardware firewall.
Let us know if you have more questions