Windows Registry/User Profiles
Windows hardware services, such as your cable modem connection, are included in the system.dat portion of the registry. These registry entries are processed on system start up. This can be confirmed by pinging a Windows machine that has not been logged in. It will reply. Software services are included in the user.dat part of the registry. These registry entries are processed when the user logs on as part of his user profile. If you can create one user profile that runs Zone Alarm and another that doesn't, then your fears may be well founded