1. Usually driven through a web-based wizard of some description. I tend to disregard GRC's network pronouncements; he's a wiz at assembly language, but doesn't seem to understand security terribly well - cf. the "raw sockets" fiasco. Testing is simple. You get a friend to portscan you and you make that request IN EMAIL so that if either ISP goes loopy you have something to wave at them.
2. I've got a three-year old Netgear RT314 - it's got 4 10/100MB switch ports, a DHCP server, a packet-inspecting stateful firewall, port forwarding, can be controlled via web/telnet menu/telnet CLI, and can be obtained for less than the price of a couple of coffees in Starbucks from eBay. Lessee: [link|http://search.ebay.com/search/search.dll?cgiurl=http%3A%2F%2Fcgi.ebay.com%2Fws%2F&krd=1&from=R8&MfcISAPICommand=GetResult&ht=1&SortProperty=MetaEndSort&query=RT314|http://search.ebay.c...dSort&query=RT314]
I'm not convinced that software firewalls are any use at all; after all, by the time the evil has been detected by, say, ZA, then the evil has already connected to your computer. And tools like ZA have their own exploits. It's true that there are also vulnerabilities in the firmware of things like the RT314, but when you consider that the RT314 is running a tiny embedded OS that's likely to have been considerably more thoroughly debugged than Windows, you may come to the conclusion that the RT314 is more useful in a security context than ZA.
Overall, though, go for a name you trust and get something in a formfactor that you can squirrel away - my preference is for Netgear kit because (a) I've seen it working under very heavy loads 24x7 at work for 5 years with no failures and (b) (some of) it's square and blue. They're succumbing to the blobby shiny silver disease in places, specifically their wireless AP/DSL router things.
3. 3Com no longer produce the best network adapters. I'm all about Intel adapters now. They have some of the best driver support I've seen, and they're priced to fit all pockets, even those of W9x-running cheapskates :-).