Does Mcafee anti virus program include a fire wall, and if it does, is it worth augmenting it with something like Zone Alarm?

I do not believe that it comes with a firewall. I think you have to purchase their security suite for that.
It is pointless running more than 1 firewall (in my opinion) as only one will alert you to possible intrusions etc. Tried it myself once and the same firewall alerted me every single time, making the second superfluous .