You did the Shields Up test, right? That tests inbound.
The Leak Test is something relatively new. Some software, unbeknownst to you, can send information out of your PC. Typically, this is information you might send anyway, e.g., registration information for a piece of software you bought. The problem is it doesn't tell you or ask.
The nice thing about ZoneAlarm (a software firewall) is that it not only stops incoming, it asks you if you want to allow outgoing traffic. You can permit it either once or permanently. The first time a piece of software tries to 'talk', ZA catches it and prompts you. I was surprised at all the software on my PC that wanted to send stuff.
As the others have mentioned, since I have DSL, I also have a DSL router/firewall which is a piece of hardware that provides protection. My advice is regardless of how someone connects;
One PC - ZoneAlarm
A home network - ZoneAlarm and a DSL router/firewall. This is kind of like using a belt and suspenders, but...
Sometimes hardware like a DSL router/firewall can be complicated to set up, which is why I didn't initially recommend it. ZoneAlarm is easy to install and does it's job well.