So, first is to clean your system from anything that generate those pop-ups, second to update the system and all the third party components. Thirdly to find an alternative antivirus as the one you have installed seems not doing the work.
But most importantly you need to educate yourself about what to install and what to avoid. This is a matter of practising, reading carefully whatever pop-up your security software is giving you, installing only software from reputable sources.... and so on. No security software can protect from users misconducts or lack of knowledge.
For cleaning up your system see here:
Malware Clean-up Guidance
Some of the steps above described are only applicable if you are running retail versions of ZA.
The best would be to post your logs at bleepingcomputer or spywarehammer. They will take you hand in hand to ispect and clean your system.
To ensure everything is up to date see here:
xyz was not detected. What I should do?
Finally, for suggestions on how to setup securily youy system you may want to post at bleepingcomputer forum. There are general sections of users asking for suggestions as this is a ZA only user-to-user support. Unless you want to move from a simple ZA firewall to the free suite of ZA with the AV (but you need to remove any other AV you have installed). You may also need to evaluate if to move to retail version of software rather than free ones.