There is a really simple solution to this annoying issue. And, surprisingly, it has nothing to do with Zone Alarm. No need to uninstall/reinstall! And, you may even notice several other icons have gone missing over time (volume, AC power, safely remove hardware, etc) but did not notice. This restores them all, and has no known hidden ramifications. It closes two ports to the firewall, which can be opened manually if unforeseen issues arise.

If you log on with a password (even if the password is blank) then next time you log on simply wait 5 minutes with the logon/password screen visible. If icons appear which had not been there on the last logon, then this solution is reported to have a 90% success rate in restoring the missing system try icons. It is from http://winhlp.com/node/16 which has an extensive review of this issue and a number of other, and more time consuming, methods if this simple solution does not work.

The Ostuni Workaround

2004-11-11 – Francesco Saverio Ostuni wrote: "... I found a solution for me that works perfectly. I simply went to My network Places and on the left pane I chose to Hide UPnP devices. This operation does not disable the service (which I need)." To see this choice, you have to have Tools, Folder Options, Show Common Tasks selected. This is still one of the most successful and not very intrusive workarounds, so you could try it first. I keep getting emails stating that the Ostuni Workaround worked well and solved the problem.

An alternative method for the Ostuni Workaround:

More details of the Ostuni Workaround

Francesco Ostuni further mentioned that the same can be done through Control Panel, Add or Remove Programs, on the left side: Add/Remove Windows components; select Networking Services, click on the Details... button, remove the checkmark for the UPnP User Interface, then click on OK. The result is the same. Now the icons are back every time at each reboot.
This has meanwhile been confirmed by many other users and consistently kept a success rate of well over 90%, so we can conclude that this solves the problem on all but the most unusual Windows XP installations.

Apparently this option is only there after Service Pack 2 is installed. I'm not sure whether and how this would work in Windows XP installations without SP2.
It is as yet unclear what exactly the UPnP User Interface does, beside opening two ports. Any information is welcome.
Several people including myself suspect that the UPnP interface does not directly cause the problem, instead there seems to be something wrong with the load order or timing. Perhaps the UPnP interface hogs the system in a way that blocks the systray for too long on some computers.
2005-03-13 – Volker Severt wrote that a side effect of having the UPnP User Interface installed already makes the UPnP devices visible, namely that the relevant ports are opened in the firewall. If you uninstall the UPnP User Interface, these ports are automatically closed, but you can reopen them by hand. They are TCP 2869, subnet, and UDP 1900, subnet. Thus you can still have the UPnP devices visible.