As rustle says, you can tell Zone Alarm to "trust" the other machine. If your network is in the range 192.168.1 then tell both machines' ZA to trust 192.168.1.1 - 192.168.1.255.
Exactly how you do that will depend on which version of ZA you have. I'm using version 5.1.011. In that, start ZA Control Center, click on Firewall (left hand tabs), then on Zones (top right hand tabs), and Add the range, as "IP Range" and "Trusted".
I've dumped the other firewalls in favour of ZA, which works fine, and AVG anti-virus ditto.