Security problem?

Firstly that connection most likely appeared after you applied a Windows Update so it is unlikely that the system has been hacked.

But I would enable the router so you have a Hardware level of protection as most of these use a Nix of some description so they are far harder to crack than the humble Zone Alarm which has a multitude of hacks for it available to those who are interested in hacking systems.

The only way to be totally sure that you have a secure computer is not to have any means to actually turn it on there are always trades off involved when it comes to security vs usability so the security gets left by the way side and the usability gets first preference. But to check that things have not got out of hand enable the router and block all outgoing ports that are not enabled in Zone Alarm and that should tell you if there are any attempts at outgoing transmissions. While you are at it update the Routers Firmware as well just to be on the safe side.

Col

what you could also do, since your using wireless router is to turn off your wireless SSID (use browser config if you can), this prevents your wireless connection to be broadcast outside your home network, and also turn off your mac filter (if your not using a laptop for outside connection) simple, and this should prevent you from sharing connection to your neighbor. hope this helps