If you have XP and 1-2 gigs of ram you should not see any speed issues with ZoneAlarm... I have a computer with 1 gig and a laptop with 3 gigs, neither have any issues with slowness... I assume you must either be running Vista or have less than a gig of ram.
I highly recommend you stick with ZoneAlarm and/or use Comodo... The latter being more secure in a way but also is based on rules and not just applications... Comodo also has a far better virus scanner with it then ZA does.
Here are my suggestions:
1. Disable windows firewall, it is garbage... It should only be used if absolutely no other firewall is on your computer... But I would not recommend it.
2. Click ALT + CTRL + DELETE and check cpu usage... If it is a high percentage and you have more than a gig of ram you should try and figure out what program/s are hogging the ram. You could try starting the computer in diagnostic mode by going to START >> RUN >> type MSCONFIG and click enter... Then check DIAGNOSTIC SETUP click ok and restart... Then try running ZoneAlarm and see if the computer is still slow. If it isn't then you have a app hogging your resources.
3. If you have less than 1 gig of ram upgrade to at least 1-2 gigs... 3 for Vista.