Don't worry about turning off the Windows Firewall. ZoneAlarm will do that for you during installation.
Which version of XP did you get, Home or Professional? One thing to watch out for is if you play around with limited user accounts. While great for restricting what people can do (and any viruses/malware//trojans they download), it doesn't work well with many games. I have XP Professional, so I was able to grant my brothers permissions to the specific games while still limiting their access to the system folders. Under XP Home you will need to give the user an administrator account if they need one of the problem programs. If all users could run as limited accounts, I bet we wouldn't have quite so much trouble with malware like CoolWebSearch.
Check out Microsoft's Powertoys for XP. I find the Alt-Tab Switching replacement and TweakUI quite handy.
goates