If you're seeing the firewall icon then it's either your software firewall or your router. Double check your ZoneAlarm setup. Double check that the XP firewall is off. The firewall is a problem but it doesn't necessarily mean that you won't be able to connect. The fact that you can't use Bearshare either makes me think of your ISP causing a problem. But then your port 6346 is not blocked...Have you tried any other p2p apps?

You could try changing ports, there are instructions & a list of alternative ports here
Alternative Ports

You could always try reverting back to port forwarding & see what happens?