I've well read the "Using... ZA as a Proxy on LAN" post http://forums.zonealarm.com/showthread.php?t=75708 ! But is this solution relevant?
Configure ZA on the server side with: allow incoming TCP, allow outgoing TCP, allow incoming UDP, and allow outgoing UDP on the ports 80, 61000-63000. And allow outgoing DNS (UDP 53).
Is there any lack of security to run it?