I use a combination of the XP firewall and a hardware one that's built into my router, so you can put me down as another 'dunno' Dave. The usual rule is: If it works, count your blessings. If it doesn't, ask a grown-up.
I would suggest that, since ZA protects against both incoming and outgoing traffic - whereas XP's firewall only blocks incoming - ZA sounds a better bet. However, the firewall slated to arrive with SP2 for XP is said to have souped-up firewall capabilities - although I would certainly want to keep my assets covered until then.