Zone Alarm is starting before of after the Lan connection proceses are started in Windows? I ask you that because some other firewall solution don't do that, i only know one who have an option to enable lan connection after the firewall is started.

If Zone Alarm start before the Lan connection proceses from Windows are started there is no security problem.

If Zone Alarm start after the Lan connection process from Windows are started there is a security problem, because the system is unprotected for some seconds.
There is a solution when ZA see that you are shuting down the PC he must disable the LAN connection and at start after ZA has fully loaded he must enable the Lan connection.(Also there is another solution but i believed it is exagerated to disable/enable the lan card and not the lan connection at shutdown/start)

Operating System:Windows XP Pro
Product Name:ZoneAlarm Pro