Zone Alarm Pro can be used with the Linksys Etherfast Cable/DSL Router (BEFSR41) to filter outgoing requests (prevent trojan horse / spyware attack), using the latest version of the router firmware (dated September 10, 2001 I think - check Linksys's website).
But then, another way to do it is just to monitor the outgoing access log on the router from time to time and watch for any suspicious entry.