Hi there rora
First i would like to say that if you are talking just about the cable modem itself, then that is not a "firewall", you have been slightly misguided, the cable modem is used to translate messages from your computer (Which are in digital form) into (analogue frequencies) so that it may be transferred across the cable line, then once the message that you send reaches its intended destination, the modem on that side of the line will translate it back into digital format so that the recieving computer can understand it.
As for using Windows ICF (Internet Connection Firewall) and ZoneAlarm together, i would not worry about this unless ZoneAlarm is causing you problems to get on the internet; with todays technology, running more than one firewall application should not show any system performance problems. (Better to be paranoid now, than wishing later on that you had been!)'
Right now i have two firewalls on my local machine, then from there i go through an internal router (This has some firewall protection) and then from the router, i am using an old desktop as a Hardware Firewall, then finally i get connected to my external cable modem, so that i may browse the internet.
So after reading this rora, i bet you don't think you are overdoing it now? Lol
So to conclude, firewalls alone will not stop unwanted intrusions if you like, but will deter the script kiddies(Clueless amateur crackers) who are looking for easy prey, and any trojans or worms (Well as long as you keep you firewall up-to-date)
Regards
Alex.