ZA could be mis-configured for all that you know. Usually, FW(s) are very
good at stopping unsolicited inbound traffic to the machine from
unsolicited IP(s). If a worm is scanning the Internet from a compromised
machine looking for another machine to compromise, the FW will stop it if
configured properly. However, if your machine is soliciting input from an
IP/machine and it has been compromised or the the machine has been setup to
compromise other machines, then the FW is not going to stop the worm coming
in the traffic. You're not hanging out on p2p(s) are you?
Maybe for the time being and you think you're clean, I would not run on the
Internet using the Admin account for awhile. By using an account that is
not an Admin account, this will prevent things from coming to the heart of
the O/S the Windows directory and installing and running.
The protection of the machine starts with the O/S and everything else is
secondary to it, including the FW and the AV. Try to implement some of the
security measures discussed in the link. You should start with the Baseline
Security Analyzer which will tell you what Security patches are missing
from the machine.
http://www.uksecurityonline.com/husdg/windowsxp.php
I have to be honest here. If this were happening to me, I could no longer
trust the machine's setup and the FORMAT command would be coming into play
for a fresh start.
Duane