Look in your Zone Alarm logs and see if it shows rejecting anything connecting in them.
You didn't say how you were connected - whether dialup or broadband and on direct connection to the modem or with a router, and if so is it wireless?
If it is wireless, make sure you do not have a portable phone (or any other wireless device) on the 2.4mhz band anywhere near the router or the computer.
If you can't determine any cause, go to Windows Live Onecare Free Scan.
That will check registry issues among other things.
It will say "Get a free PC safety scan"http://safety.live.com/site/en-us/default.htm
Make sure you click "Full Service Scan"
in the middle of the page and not the "Try It Now Free" on the right side.
Allow it to download Active X components.
Choose "Complete Scan" in the window that opens
Do not click on anything else that offers you a free trial or to sign up if you live in the US.
Allow it to scan - it may take quite a while, maybe two hours or so depending on how big your hard drive is and how fragmented your registry and drive are.