Seems the problem is in zone alarm, not the browser so you need to open zone alarm and see what is being blocked, perhaps others here use it and could direct you better then I.

First try this:

Open the ZA control panel > click Program Control (left side) > See if Automatic Lock is on or off. If on change it to off. If its already off this wasn't the problem :-)

Another suggestion... go into ZA; on the left hand side of the screen, locate and click on "Program Control"; click on the "Programs" Tab; a list of programs will then be displayed; scroll down until you locate "Internet Explorer"; the "Access" column should have a green check mark under "Trusted" and under "Internet".

If you do not have two green check marks then you have either a red "X" or a blue question mark (?). Position the cursor above the X or ? and then click once. A list will display showing what you can change the setting to. Do that by moving the cursor to the new value (green check marks mean ZA will allow the software to access the Internet) and then clicking on the new value as it becomes highlighted. You want to have green check marks in the "Access" Column's Trusted and Internet sub-columns. Blue question marks in the "Server" Column are ok.

Luis must have read my mind.At any rate you can check out this website about two thirds of the way down:
Zone Alarm Setup & Tutorial

Witz

Good Day to all,

Guess what I have all blue question marks!
Is there any way to know for sure what I am changing??

Another question? I found the following in the article
Zone Alarm Setup & Tutorial (link above)
I am using SP2 does any one just use the SP2 firewall?
"If you are using WindowsXP SP2, then your might not need to bother yourself with installing ZoneAlarm. SP2 Internet Connection Firewall does its job much better than earlier versions of it. If you dont want to mess with 3rd party firewall like ZoneAlarm, stay with SP2 Internet Connection
Firewall!"

Thanks for your help and replies.

Happy Trails,
pinecone

The blue question marks are the result of an old reply that you made to ZA when it first told you that Internet Explorer wanted to access the Internet. You probably clicked on the "Allow" button only then.

When a product first tries to access the Internet, ZA displays a pop-up window titled ZoneAlarm Security Alert. At the bottom of this window are three fields: (1) Remember this setting, (2) Allow and (3) Deny. The first field is check-able (click on it once and you get a check mark; click again and the check mark is erased). The other two fields are regular buttons.

If you click on "Remember this setting" and then click on Allow, that makes ZA grant IE (or other program) access to the Internet then and anytime again in the future. That is stored/viewed as a green check mark.

If you were to leave "Remember this setting" unchecked and clicked on "Allow", that makes ZA grant IE access to the Internet only once. Once you turn off the computer, IE no longer has access to the Internet. That type of reply is stored as a blue question mark and is called "Ask".

The next time that IE tries to access the Internet, ZA will display the ZoneAlarm Security Alert Pop-up Window and ask you again what to do.

In a program like Internet Explorer, you should have the green check marks so, use the method I described above to alter your IE Setting on the "Access" Column. And you can safely leave the "Server" column with blue question marks.

Pinecone,

I have known people who just use the built-in Windows firewall, however the downside is it does not monitor outbound traffic. I would like to think that most, but not all, people would agree that a third party firewall that monitors both inbound and outbound traffic is the best way to go. Regardless of how careful some consider themselves to be on the internet there is always that chance of getting infected by malware one way or the other that may try to 'call home' with your personal information.
http://netsecurity.about.com/od/firewalls/a/aa081804b.htm

"Is there any way to know for sure what I am changing?? "
As Luis stated Zone Alarm will present you with a pop-up window letting you know that an application or program wants to access the internet. It will give you the option of 'Yes' or 'No' and list the application that wants access, such as 'Internet Explorer' or whatever programs you have. There is also a 'More info' button in the alert. If the program is one you recognize and use all the time, you can click 'Yes' and select the box 'Remember this info_______' to keep from being bothered with the same request all the time. If it is a program you don't recognize I would click 'No', but not necessarily select 'Remember this info'. If the request keeps coming up and you don't recognize the program and the 'More info' button does not give you the info you need you may want to 'google' and see what it says. There are some 'Windows applications' that need internet access on occasion.

Witz