I have tried ZoneAlarm on my Win Xp box, and it didn't really even work. I found it pretty buggy , it wouldn't even allow my AOL to dial up (i hate aol by the way!) . I then switched to Tiny Personal firewall by Tinysoftware, www.tinysoftware.com . I like this firewall alot, mainly because it does not bug you. It also logs every connection attempt; very useful!
Switch firewalls, and i think your problem will be solved!
My Two Cents,