It's most unlikely that it's hacking activity, hedonist. ZoneAlarm just tells you whenver a packet comes your way - it's very unlikely to be malicious.
It's most likely just to be a wrongly addressed packet floating the web. It happens all the time and it's nothing to worry about.
The media and security companies (and unenlightened yusers/scaremongers) inflate the /real/ threat of people hacking your PC, especially if you're on a dial-up. That being said, if you can afford the extra RAM, and slower PC that results from running ZoneAlarm, go for it - can't hurt more than that.
People seem to think that it's easy to hack their computer. It's not. Install a decent virus scanner to stop backdoor server trojans, don't run misc. programs that you don't know the origins of, and update the security vulnerabiltiies in your software (Internet Explorer, Outlook Express, mIRC, ICQ in particular) and don't run a server, and you're probably fine.
http://www.windowsupdate.com/
http://www.zonealarm.com/ (for biker 13)
ZoneAlarm /IS/ a really good piece of software though. I recommend it if you want that piece of mind.