Is it worth going for the pro version of Zone Alarm Firewall, or should I stay with the free version?

Also, I believe I have a harware firewall in my router. Does this mean I do not need a software firewall?

Thanks in advance.

All routers that are capable of NAT act as firewalls and home routers come with some additional packet filtering capabilities too.

A software firewall is still a good idea - it will protect you in case a compromised computer ends up on your LAN or if someone manages to break into your router. Futhermore, you can control the network access of programs installed on your computer so you have a chance of spotting dumb spyware.

Unless you really need some feature from the Pro version then there is no point in getting it.