Ausatco you say you are running Xp home and Zonealarm do you have the windows firewall switched on too?
If so you can sleep easy at night I have tested firewalls quite extensively and although the XP ver is very basic, in that you can't see who is pinging/probing you there is very little chance that you will be affected.
GRC does provide some good tools but SG has a major problem with Microsoft in general and some of his tools return false and frankly untrue data, or perhaps it could be explained to me that when I sit behind two software firewalls and a hardware firewall these tests still report that they could 'get' me. In these cases IP addresses often prove to of my hardware f/w so I sleep real good at night.
What the blaster worm has done has opened up peoples eyes to what can happen to someone who makes no use of the free windowsupdate site which can rid you of all these problems before they visit you in the first place.
Now if only some of my customers overpriced AV software could keep out sobig.abcdefg??? viruses then maybe I could go to bed...