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He's playing Starcraft when it locks up. After he exits it freezes.
And you're certain that ZoneAlarm is the culprit? If, for example, ZoneAlarm isn't running, does it have a problem as well? I think that, most likely, there is a problem with Starcraft and Windows XP that is causing the problem. Try running Starcraft in compatibility mode and see if the problem still occurs. To my knowledge, closing a program (even a game) while a firewall is running shouldn't cause any problems such as that you are describing. Also, you can always try uninstalling and reinstalling the program. The most recent update(s) for Starcraft may fix this problem as well... it's always worth a shot.