The Windows Firewall is only a one-way firewall, which means that it can only protect you from external network based malicious attacks from viruses, worms, and hackers. The problem with this type of firewall is it can't be used for protecting you against malicious software already installed on your computer.
ZoneAlarm is a two-way firewall which not only will protect you from external threats, but also from internal ones. Before any program can communicate with the Internet it must be authorized through the firewall. This is a great way to tell if there is malicious software (such as spyware) installed on your computer that you may not be aware of.
ZoneAlarm also includes an Internet lock feature which blocks Internet traffic while your computer is unattended. This feature can be activated automatically when your computer's screensaver comes on or after a set period of inactivity.
Note: ZoneAlarm is free for individuals and non-profit charitable organizations (excluding government entities and educational institutions).