HI there. Okay, try this.
First, open ZoneAlarm
Then, on the left you will see some folder options, open the Logs and Alerts, and click the "main" tab. Make sure that "Alert Events Shown" is ON. ( when you are done, and if this works

you might want to turn that alert OFF, as it will ask your permission for almost everything)
Second, On that same left panel, go to "Program Control".
On the "MAIN" tab, make sure "Automatic Internet Lock" is OFF.
Third, stay on the same thing, but go to the "Programs" tab
Scroll until you find your Internet provider, I.E. MSN or AOL, and give it all green check marks.
If you don't see you provider listed, then try to connect to the internet. What happens next, or at least should happen, is you will get a pop-up alert from ZoneAlarm telling you that an internet program is trying to access your computer, and do you want to A: allow it ( yes)
and B: do you want ZA to remember that setting?(yes)
Post back if this doesn't work, and even if it does.
