And where might someone find the info for setting up a router/firewall correctly?
Hmmm honestly this isn't something and FAq or help page will really satisfy. Relying on tohers advice without personal expertise will probably just set you up for a false sense of security.
One major advantage of Zone Alarm and other software FW's is that they are a lot less dependant on the user getting it right. They also tend to be a bit mroe user friendly in terms of simply being able to quickly turn off protection for a moment or two to do something it is blocking and then clicking it back on.
yeah yeah, I know all that can be done in HW FWs too, save your commentary. My point is that if HW FW's are messing with your head the SW one's will likely be a better choice for non-security oriented end-users.