Zone Alarm is fairly automatic. It blocks all incoming requests and initially blocks all outgoing requests until you give each application permission to connect.
How do you connect to the Internet? If you're running other than dial up then absolutely put a hardware router/firewall between you and your modem. I just picked up a Netgear 4 port router/firewall/switch for a net $10 and I just saw someone else netting the same model out for $5. It works very well; even a little better at DHCP than the Linksys I was using before.