Hi
Good to know all is well.
As to stopping attempted intrusions that's exactly what your firewall is supposed to do. It shows your firewall is working. I also use Zone Alarm Free personal firewall and I've just checked the statistics - up to now it tells me that, since the last upgrade a while ago, it has blocked 24230 intrusions of which 7514 have been classified as "high rated".
On the cookies you might like to read this for a view....
http://www.pcreview.co.uk/forums/thread-1899651.php
Mostly you needn't worry about them too much. Just make sure you do regular scans and remove them if you don't want them. Spybot Search & Destroy should do the job.
Hope that helps.
Best wishes.
OJ