I have the same problem - anti-phishing reverts to Off on booting up. (ZoneAlarm AV 9.3.014.000, Truevector sec engine 9.3.014.000, Driver 9.1.522.000, Engine version 126.96.36.199, Windows XP). I have tried resetting, closing down ZA and restarting ZA (as suggested in this thread) - it remains on. However, on rebooting the computer it reverts to off.
Very annoying - any help welcome!