You connect it between your cable (or DSL) modem and your PC:
They are easier to use, provide a more robust firewall (quite a bit harder to crack) and once installed, can operate pretty much without any consideration for years, regardless of changing and confused settings in your PC.
Zone Alarm tends to go out of its way with the free version to scare you, with various alerts about outgoing packets that are not usually any problem. This encourages you to buy their Pro version.
I did set it up where my network is encrypted and is not able to be seen by others....