You can always configure your software firewalls to permit traffic on the local network. You would do best to match the address range permitted to that of your DHCP scope.
For instance if your router serves only a few PC's as in a common home network, you might want to configure your IP Range as 192.168.1.0 with a subnet of 255.255.255.192. This would provide a subnet range of 4 nodesl. Your router is one (eg 192.168.1.1) your PC is another (eg 192.168.1.2) and you have two DHCP spots left. Subnetting will help to keep broadcast traffic down, while also limiting the DHCP schope, as you cannot serve DHCP outside of a given scope.
Basically though, you want to configure ZoneAlarm to permit all traffic to your address range, 192.168.1.0 in this example.
You should also configure on your wireless card, via WIndows Wireless networking, to connect to to infrastructure only. Otherwise it is possible that a P2P can be created from another wireless device direct to your PC.
Configure your WEP, or WPA-PSK if you have it is better.
Check that it all works, and you should be set.