Slasher - I have wondered exactly the same thing myself. Certain miscreants out there want to get into your ( read that as anyone's ) system. I am certain some sites elicit info from your machine that you in the normal course of things would be unaware of. Perhaps the receipt of a cookie will trigger the ZoneAlarm BUT when all is said and done - Zonealarm BLOCKED and DROPPED the request. Sleep peacefully Slasher me old chum - they don't even know you exist now. Have you taken the GRC shields up test yet ?
Wonderful feel good value in that one even though the thinking man accepts that you are never totally fireproof.