This article is full of crap. Did you look at the "vulnerabilities" linked to on that page?
1. The cmd Issue
Description
The command shell cmd.exe ignores the ZoneID of files. The command
cmd /c evil.exe
executes the file evil.exe without warning, regardless of its ZoneID.
And in other news, typing rm -rf from the root command line in linux has negative consequences. If you want to be secure, disable access to cmd in the user policies.
But the thing is, they're complaining about a
warning dialog box that doesn't pop up from
cmd. Oh no.
2. Windows Explorer caching of ZoneIDs
Description
Windows Explorer caches the result of ZoneID lookups. If a file is overwritten, Explorer does not properly update this cached information to reflect the new ZoneID. This allows spoofing of trusted or non-existant ZoneIDs by overwriting files with trusted or non-existent ZoneIDs.
....
Exploiting this issue requires the ability to overwrite existing files which have a trusted or non-existant ZoneID. Right now there is no known way to achieve this in an attack mounted from the Internet.
The only "problems" here is that the user can hurt themselves. The OS can't prevent against social engineering. Although, yes, this is in fact a bug. I'll give you that.
And as far as the firewall is concerned, even the article itself says that the problem is pretty much the same with all consumer software firewalls. I suppose it could be ran at a lower level, but I'm sure the firewall distributors would be kicking up a hissyfit if Microsoft put their firewall that tied deeply inside windows.