To test a firewall you can use the following site, its the Shieldsup test by Gibson Research.
https://www.grc.com/x/ne.dll?bh0bkyd2
Your modem has a SPI (state full packet inspection) Firewall built in.
http://whirlpool.net.au/index.cfm?a=h_view&model_id=233
So you dont really need ZoneAlarm to protect you from incoming attacks. But it will help protect you from Trojan's that will send information out from your PC. The problem with this is that it does not know what is a legitimate connection your trying to make or what maybe a trojan. So i assumes the worst and ask you to tell it when it detects a connection being made. It will prompt and ask should this be allowed. So you will need to make a Rule for each of your games to allow them to connect to the Internet game servers or update servers etc. This type of program is good if you have users sharing the system who are not Internet Savy and may accidentally accept or install a Trojan or Spywayre application while using the internet.
But as far as inbound protection goes your Firewall should be good enough. Zonealarm gives you a second layer of inbound protection as well as outbound. Think of it like the router is your main door, and Zonealarm is your bedroom door. As such ZoneAlarm will also protect you from other computers on your network that may be infected. Or neighbors who might get onto your wireless network. But for all this 2nd level you need to actually setup the software to do this. Lot of people just install and forget.
Regards
Fahim