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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,
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Although Tiny personal firewall is excellent, I've found that Outpost is more useful in many ways, and its still completely FREE (unless you get the Pro version). Tiny is a good choice, but Outpost seems to be even better!
Its up to you which firewall to choose, but I liked ZA when I used a single computer to dial up to the Internet. Now I'm networking the computers together, ZA doesn't like it and tries to block stuff, it even "forgets" which IP range is supposed to be in the local zone. Tiny and Outpost both do not have this problem, and I'd recommend either of them for use where a LAN is involved.