Technically, it's not a firewall. It does Network Address Translation to route connections from the external IP address to various internal connections. As such, only connections you configure can be initiated on the outside (ie: you tell it that you're running a webserver on machine X, so forward traffic for X on port 80 to it).
True firewalls do so much more than simply "block all packets unless specified otherwise", they do stateful packet inspection, etc. NAT is a poor-man's firewall, I suppose.
Running ZoneAlarm or any other software firewall is an excellent idea, even with the NAT solution.
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