Sorry I didn't reply yet. I don't check my Yahoo mail often enough and just found all my DaniWeb emails in my Junk folder.
For what it's worth, the only firewall I'd trust is Apple's built in firewall.
I don't even use it as I've seen no need to do so.
Net Barrier X and Lil Snitch are the only ones on that site that I've heard of and read about. I have Lil Snitch on my Macbook but it can be very annoying watching all the activity and having to close it's window all the time. I'm sure there are settings for it somewhere, but as little as I use that machine, I just haven't checked into it further. It does what it says, and I don't recall reading anything bad about it.
I'd suggest trying Apple's firewall. If your Mac doesn't want to open something, there's usually a good reason. And if zipeg or the unarchiver can't open them, I wouldn't want to. Just do a search for those and you will find them.
I looked at a few others that I've never heard of on that site and many, if not most are old and meant for PPC Macs, not Intel Macs like you have. That's probably the reason they won't open.
Just my opinion. If you use facebook and don't have all your security and privacy settings at the hilt, Lil Snitch will drive you nuts from all the info being sent back and forth from their 3rd party apps and fan pages and all the other advertising crap they have on there. I'd imagine, and maybe I'm wrong, but any good firewall would nullify Facebook browsing. That Zuckerberg founder said himself that people need to get over the privacy issue. What a guy.
I also just checked the Site Advisor status of the site you linked to and from users, it's not good. Just because McAfee Site Advisor itself, says it's okay, doesn't mean it's so.
Hope this helps you.