This is a cut and paste from the Zone Alarm website (because we all love cut and pastes)
7. I am running ZoneAlarm on my PC. After installing XP SP2, is Windows Firewall automatically running as well?
If you are running a ZoneAlarm product (version 5.1 or higher), ZoneAlarm will disable Windows Firewall upon installation of XP SP2 so that the ZoneAlarm product is the only firewall running. This process was recommended by Microsoft because of the potential negative side effects of running two firewalls at the same time. Please see question #8 for more information on running two firewalls concurrently.
If you decide to uninstall your ZoneAlarm product, ZoneAlarm will re-enable Windows Firewall upon de-installation.
8. Will I have greater protection if I run both firewalls?
Zone Labs does not recommend running two firewalls at the same time because you may experience some performance problems.
ZoneAlarm products have more robust and comprehensive security features than the Windows Firewall, including monitoring and controlling inbound and outbound Internet activity. Windows Firewall can only monitor and control inbound network traffic.
ZoneAlarm products also provide hijacking protection, expert controls, safe-sharing, spoofing protection, and program control features. Additionally, ZoneAlarm Pro and ZoneAlarm Security Suite offer extensive privacy features for added protection.