If I install and use the zonealarm firewall should I disable the one in windows xp
No windows xp recognises that you're installing your own and will disable it automatically. I know it does this for the AVG anti-virus install (has it's own firewall), so I would assume the Zone Alarm install would have the same option.
As a general rule it's a good idea not to run more than one firewall and more than one anti-virus program on your computer at any time. Otherwise they might interfere with each other.