Unfortunately, Zone Alarm is still the best software solution as far as I know. Stay far away from Norton Internet Security, as it is very buggy.
Whenever possible, I would recommend a hardware firewall instead. You can get a Linksys router for cheap, or pay a bit more for a Netgear firewall box. Of course, when you are on the road that can be a pain, but arguably preferable to the pain that Zone Alarm can cause.