This is a common prob.
Open up Zone alarm, and look in the "programs" window. Make sure you give AH permission to do everything (right click it); you don't want any question marks in that window, because they mean ZA will ask you if it's ok for AH to access the net, and you can't see the dialogue box to say "yeah, let me on now, dammit!" becuase AH is over the top of the dialog box.