A few firewalls? You should only need one. More firewall programs do not necessarily mean more protection. They just bog down your system, since you have to let each one monitor the connection, monitor your programs that are using it, etc, and all that takes CPU cycles.
I know Sygate Personal Firewall will tell you if anyone is trying to hit your computer. ZoneAlarm might, I don't know. I just use my router and make sure the ports I don't want open are not opened.
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