As I understand it , ZoneAlarm views anything that involves two way traffic with a computer as a server. MS Messanger has functions involving file sharing, Whiteboard etc, which would trigger Zone Alarm to check you want it to use this functions. As you can't seperate these functions from MS Messanger, you either have to allow it's use or not use MSN Messanger at all.
I allow it's use, but make sure that I have my Virus protection running lie at the time, and I do NOT accept any files offered through MSN MEsssanger, even from a trusted source. HAvn't had a problem so far.
H