For a firewall, get the free version of ZoneAlarm or the better (?) pay version.
One of the main reasons to shut down is to conserve energy. A sleep mode helps, but usually doesn't work with a broadband connection to the net. I can put my monitor in sleep mode without putting the computer in sleep mode.
One of the main reasons to re-boot is that a re-boot clears out your RAM from all the various junk that fills up your RAM while surfing.
I always shut down the whole system at night.
I have had nothing but problems with Zone Alarm. I used ZA on several PCs. All PCs were up to date Win98, chips were different though (Intel and AMD).
If you need firewall protection, a good solution is Watch Guard Firebox SOHO.
The price is reasonable for a small network. Very nice.
I leave the CPUs on and turn the monitors off. Thanks...