Hi Sgt
I think you have the right idea installing BHODemon, I have just downloaded a copy and emailed it to my home PC, and I will install it as soon as I get home.
It's strange that a piece of rubbish got through your defences but, I guess, nothing is infallible.
Although I am not familiar with Zone Alarm, I now use Norton Personal Firewall 2005, it could be that there is something you may have missed when you configured your firewall for maximum protection. The sure way to test your firewall is go to GRC’s shields up web site and do a full stealth test.
http://www.grc.com/default.htm
This will tell you if any of your PC ports are open and so vulnerable to attack, which could have been the way that piece of rubbish got in. However, if you find any ports open you will have to re-visit your firewall’s configuration and/or get a utility that will close/stealth specific ports.
When I had NPF 2003 I found that no matter what configuration I used I could not stealth or close all my PC's ports. Until I got the UnPlug n' Play utility from GRC, once installed it closed port 5000 which immediately allowed my firewall to stealth that and all remaining open and closed ports. That meant that all my 65,535 PC software ports were from that point on perfectly stealthed.
UK Bob