A little more information would be helpful. What happens? Does it just hang? Do you get an error message (if so, what is the exact message)?
What ZA product are you using - Extreme, Pro, Security Suite, Anti-virus? Do you have the ZA toolbar installed? Or, do you have the standalone version of ForceField installed? Do you have any other a-v/a-s, firewall software installed on your PC? What browser are you using to do the downloads?
I am running ZASS on 2 WinXP SP3 machines and I can download pdf and exe files all day long with IE7 or IE8 (with the ZA Toolbar).
Can you give us an example of an exe file that you can't download? For example, I just downloaded CCleaner (ccsetup227.exe) from FileHippo.com with no problem.
ZoneAlarm Security Suite version:9.1.008.000
Anti-virus engine version:126.96.36.199
Anti-virus signature DAT file version:1008940736