I'd definitely email MSN support with this one as it seems to be somewhat of a mystery.
It could be some sort of fault within Windows that requires tinkering with the registry or something like that, something that only they would have a definite answer for.
Also have a look at
http://www.bigblueball.com/forums/to...?TOPIC_ID=3708 which seems to be a decent thread regarding problems like yours. You may find the answer on there. Sadly though it's 7 pages long
And, lastly, just out of interest which version of ZoneAlarm do you have installed? Not version 5 Pro is it by any chance?