Since the windows update I've have had the same access problem as everyone else posting here. You can leave the internet security zone on high if you set a custom firewall setting for outgoing TCP ports.
To do this open Zonealarm, click "Firewall", "Main", "Custom", "Internet Zone", scroll to "Allow outgoing TCP ports", put a check in the box and type 0-65535. Click OK.
If you don't want all the outgoing ports to be allowed you can set just the outgoing ports your programs need.
Operating System:Windows XP Pro
Product Name:ZoneAlarm Internet Security Suite