Never heard of the nVidia NIC firewall. I'd just use the integrated NIC firewall, or disable the hardware firewall and use the windows firewall (with SP2 on XP). I've found ZoneAlarm to be bloated and a bit overrated. Still a good firewall though, I'm just not really into third-party software firewalls unless they're dedicated, like IPCop, Smoothwall, ect.
But whatever you do, I wouldn't use both. You suddenly have two interfaces that could potentially cause problems with portforwards and other applications accessing the internet. You'll suddenly have two places to look instead of just one.
-Chris