The XP firewall only monitors incoming traffic. Zone Alarm also monitors outgoing traffic, meaning if you're already infected, ZA won't let the malware report back home.
Note: You should only have ONE software firewall running. To disable the XP one, go to Control Panel > Security Center, click Windows Firewall, set to Off and reboot to complete.
http://www.microsoft.com/windowsxp/u...nfirewall.mspx