As you can see here:
http://www.firewallleaktester.com/tests.php
(Scroll to the bottom and hit view results)

Zone alarm is the third best in firewall leak testing (Scroll down the page and look at the bars). Now as you probably noticed, these tests weren’t done on vista. Although there isn’t much of a difference between Vista and XP when we are talking about firewalls. So if I were you, and you are running Vista, I suggest that you keep Windows Vista’s firewall on, along with what ever else you choose to use.

(1 pts) : This icon means that the firewall is ‘passing’ sucessfully the leaktests while setup properly.

(0,5 pts) : This icon means that the firewall is using a generic ‘block’ which is intercepting the leaktest at an earlier step, whereas there is no network access yet. While on one hand it can appear to be safer, on the other hand the technical alert given requires more knowledge from the user to do the right choice, which is less reliable than a sucessfull pass where the alert is about a network access. Moreover, these kind of protection will alert the user about many other legitimate activities which does not access the network.

(0 pts) : This icon means that the firewall is ‘failing’ the leaktest.
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Impact on the leaktests

As you have read, the default ‘out of the box’ Vista security is very different than Windows…