SP3 changes several .EXE files iexplorer is certainly one of them, Zonealarm recognises these as new and need to be allowed, so although the orginal version of iexplorer may be showing as allowed the new version wont, Check that show alerts is on in zone alarm and have a look at the logs to see what is being disallowed, and check the version of programs allowed is the same as the version that your running.
On updating to SP3 I had to re allow a lot of programmes