No you do not need any more S/W. You can configure ZA to allow certain programs access to the internet. I dont have a copy handy and cant remember the exact settings but their not hard to find and configure,there is a tab on ZA to do this, sorry i cant be more specific, you will find them fairly easy, you can enable ZA to ask you to authorise each internet connection , this is handy cos there are lots of programs that like to have a go at connecting on there own, happened on my machine!! And ZA did the trick.
Sorry i cant be more help, but if you have a quick look you will find the setting and configure in a minuites