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Know the difference between hardware vs. software firewall... yes, actually I do... and no offense taken. Fordem, I like reading your posts. It's all a matter of personal preference really. What is it we are talking about protecting here? Someone's home network running consumer grade hardware and storage, right?
I am all for layered security, but for goodness sake, pick a different software firewall then. It's obvious the OP has configured his firewall correctly, and what... he cannot connect to his device. This is the kind of poop I had to deal with almost daily while supporting users who were runnning ZA. It's ZA I was flaming.
Granted I personally do not care for software based firewalls. They require constant management, updates and are typically cumbersome. The overhead, as jamieburchell mentioned is also unattractive to me.
I'm not knocking software based firewalls, just the ZA choice. Guilt now setting in..
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All these posts and we haven't helped the OP get his issue resolved.
Other firewalls you might want to consider:
Ashampoo FireWall Free 1.2
Comodo Firewall
Agnitum Outpost Firewall Free 2009
Online Armor Free 4.5.1.431