I have this setup, I have uninstalled zone alarm after gettigno threats. Sometimes I reinstall it just to see waht will happen. Always nothing. Zonealarm would be useful if you install things from the net to prevent an attack from inside.
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Lastly how would I test that the firewall is working, should I try and ping my router or something?
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Firstly I should say that I recommend ZoneAlarm and that unbinding TCP/IP from File and Printer Sharing will not protect you from Messenger spam and various other attacks.