ZoneAlarm Flaw?

Something that slightly concerns me about ZoneAlarm firewall, which I use and love.
When I download an upgrade and install it, ZoneAlarm seems to switch off for a few minutes whilst it trys to sell and educate me on things I don't currently want.  ZoneAlarm doesn't appear to be loaded in my taskbar for those few minutes that I desperately click through to just install the bloody thing again as quickly as possible.
I was hit with a worm a few months ago when upgrading from Windows ME to XP, causing problems with my Norton Firewall and Anti-Virus, so I know it can happen.
And then I read this Unprotected Windows XP with Service Pack 1 Hacked in 4 minutes
I have SP2 loaded, but surely I shouldn't just depend on Microsoft and SP2 to protect me.
That's what a firewall is for.