LOLz I have had my own business before - lots of work and fun. Maybe it was the wrong business - the harder I worked the worse the business went.
Anyways that was many years ago.
Hmm you got the router IP as Trusted in the Zones?
Trusted Zone Security is set at Medium (not the High level)?
In the ZA | Firewall | Main | click the 'Advanced' button | in the 'Advanced Settings' windows, look in the 'Internet Connection Sharing' section and this should be checked - the 'This computer is a client of an ICS/NAT gateway running the Zone Alarm Suite' and then in the 'Network Settings' section make sure the 'Include networks in the Trusted Zone upon detection' is checked. And then OK the Advanced Settings' window. (JUST make sure to reset the Network Settings to 'Ask' before going out with the laptop to strange or unsafe networks!).
Works okay now?
Also open the Windows\Internet Logs folder and look for any .zips present (just curious if they are there).
Then use the notepad to open the fwdbglog.txt file and post the findings if there is more than one line of details.
And if there is a ZL_CM_Log.txt with info, please post this too.
The blocked events to the router should be seen in the Logs in the Log Viewer - look at the Firewall, Program and OSFirewall logs for blocked events to the router. The details are very helpful.