I decided to evaluate ZoneAlarm Extreme.
Unfortunately, it does not appear to like Jdownloader, by not allow it to create a Java virtual machine.
I've been messing around with a couple of the settings, but nothing seems to allow Jdownloader to create the virtual machine.
Any ideas would be helpful.
PS The software works fine on other computers with other security suites including Avira, Bitdefender, ESET, Symantec.