That is a very re-active way of advocating security. Even if, theoretically speaking, you have all your OS patches loaded and you have strict browser settings and take all the other good and ever changing advice you shouldn't need a firewall any more complicated than XP's built-in version.
Practically you need to assume that through any contact with the internet you do run the chance of bumping into some nasties. Having control over your internet to the point where you are warned before network connections are made sounds tedious and sometimes is but it is a very good measure seeing as the Windows OS doesn't supply information about applications' network usage. But lets not go there - the point is actively accepting/denying outbound network connections (which includes all ports) on a per application basis is safer than periodically analysing HTTP logs in the hope tha the malware uses the HTTP protocol on port 80.
If you suspect anything on your PC, run at least two or three different scans to determine how bad the problem is. Many times the best solution is to re-install. This is especially true if you use your PC for banking or storing information that you consider important or valuable. Spybot Search And destroy will pickup and clean a lot of them. Disconnecting from the network is also preferable rather than just trying to plug the leak with a finger.
Kerio Personal does have application level protection, the Winroute pro version however does not - but it is still very good as it allows you to control your network users' internet access. I install winroute on a PC used as a server/semi-dedicated server where no email or strange applications or even browsing is done from, this limits the chances of rogue applications getting on to the machine. Personally I wish they would include application control into all firewalls.
ZoneAlarm does have some level of application protection, but be warned, some firewalls clash with other software on your PC. ZA in some cases clashes with Java based network apps like Azureus - causing your CPU to be maxed out by the ZA/Azureus process.
So far I still recommend Jetico Personal above all the others for a "user" PC.