I have very much the same problem, but with some small differences. I have installed the same program as gazmomay on 3 PCs:
PC1: 64 bits Vista, and with Outlook 2007
PC2: 32 bits Vista, with Outlook 2003
PC3: 32 bits XP, with Outlook 2003.
On PC2&3 there is no sign of ZoneAlarm toolbar nor of ZoneAlarm spam folders. Obvious spam goes through.
On PC1 ZoneAlarm toolbar and spam folders get installed. But obvious spam is not automatically filtered out. But manual blocking (pressing "Junk" on the toolbar) works well.
The PCs are very well and regularly maintained and cleaned. I have made clean reinstallments the ZoneAlarmExtreme Security several times. I have no Hotmail involved.
So - the spam filter will function on none of my three relatively different, modern and clean PCs. Why?