hey,
i don't do much gaming right now, but when i was, ZA seemed to hurt ping times and system resources. Sygate seemed ok, but recently i have had some problems with it crashing on windows boxes i have installed it on (especially w2k, with SP3, not sure if SP4 fixes the problem).
i would suggest trying Tiny Personal Firewall. the small footprint should help with resources... then check your ping times against a fairly stable server (try google, or a computer on your lan, or one of your ISP's computers). record average pings with and without the firewall(s) and you should quickly find the best ones.
to check gaming performance, i would head over to mad onion forums, and download their benchmarking program designed to test gaming systems. run it to see what kind of score you get with your firewall on, then run it again without, to see what kind of score you get with it off.
ping with/without firewall on, and benchmark with/without firewall on, should give you a good indication which firewall will be best for your situation.
oh ya, and software is added/removed by clicking Start-Control Panel-Add/Remove Programs-<Program Name>-Add/Remove
good luck