Um... not sure, as it's been a LONG time since I've had to worry about running a software firewall, but can't you add a site's IP address as a trusted site? The IP address is 69.57.144.24.
I see that message you are getting all the time at work, but a few seconds later the page completes loading ok. Did you try clicking refresh/reload at that point? Other than that, I guess it's over to the Zone Alarm pros....