If we're talking Zonealarm PRO here, there are options that will get it working. For Zonealarm it's a no go. Your file sharing, and routing won't work properly if at all unless you basically turn off the firewall. This is because you already have a firewall running (Windows ICS/Firewall service is a software NAT firewall/router).

Disabling the Windows ICS/firewall (not the service) and setting up a gateway software as you have is another solution.

Personally I would have ditched ZA and just ran the windows firewall. I don't rate ZA and it's overly paranoid "scareware" approach. It's so common to see people's stories on messageboards about how they installed ZA and "OMG I was like, hit 16 times in 5 minutes by hackers!!" etc etc. These so called "high rated alerts" are in fact innocent internet traffic, and not a legion of hackers besieging your pc. A personal (software) firewall based on the local machine is never a substitute for a well updated OS, anti spyware/virus software, a sensible approach to your internet usage and, preferably, a hardware based firewall/router.