Well due to the fact that I can't find any docs & is no longer supported I think I will give Comodo a try, the popups you describe when an app is accessing the net is the same on ZoneAlarm when first installing so quite used to it,
I will take some notes on the settings in ZoneAlarm first, they may help. No use puting it off, time to take the plunge, since I had to re-ghost to get here I have to clean up the system, install SP3, then setup the net, maybe awhile before I post again.
A little nervous!
Cheers.