In numerous posts I see references to 'intrusions'. This is a misnomer as intrusions cannot ever happen. Unlike your home, computers CANNOT be broken into per se because they need some help on the inside. Hence the concept of an intrusion is probably incorrect. I prefer to use the word attack. Even if all your ports are open, an attacker cannot get in without help from your computer.
For an external hacker to have access to your computer, there needs to be a program running on you computer that can respond to an inbound request (ie an attack). This program can be a flawed system program in the operating system that can be exploited, or a program that is coded to listen for external calls and act on them. These programs are called servers.
Servers are coded to listen on specific ports so the attack needs to come in on the port the server is listening on, and the server has to be programmed to respond to the commands it receives.
Many servers are legitimate (eg FTP, HTTP and IM's) and provide no way to allow someone from the outside to gain access or control of your PC's resources beyond what they are programmed to do. Hence it is perfectly safe to give them server rights. However, trojan horses and viruses can install servers which do have malicious intent. Importantly, it is VERY EASY to attach malware like keyloggers and backdoors to legitimate programs changing them into trojans which can be installed without your knowledge while you run the original program.
The moral of this is that the best form of defence is you and your common sense. Firewalls like ZA can help you but should not be seen as an excuse to become blas !