I'd also recommend that.
I installed the plugin, anything I need to do or is default install good enough?
I'm also running zonealarm.
ZoneAlarm is fine.
With SafePeer I use a IP filter file created by BlockList Manager in PeerGuardian format.
I needed to edit the safepeer.properties file to point to my file.
The relevant part of that file is here:-
The primary DB URL -> only one URL
Supported protocols are currently http and file: