no you do not ever have to give anything server rights. the thing you MUST allow is generic 32 process that is what would stop you from being allowed access. You can open your zone alarm and click on the programs and change allowances or non allowances for each item there, if you did not give something permission that you want to have permission you can just click on the item there in the list and change your permissions, this link shows how to do that.
Firewalls and ZoneAlarm Guide and Tips

Next I would go download and install firefox browser and try using it and see if you can get it to access, right after you install it the zone alarm will ask if you want to give it server rights say no and to remember that, then it will pop up and ask do you want to allow firefox access to the internet say yes and check mark to remember that. That is all you have to do to have it set up for firefox to access the internet, it will not have to ask you again unless you do an update to your firefox program then it will ask again since the program has changed do the exact same steps as before.
Firefox
this will allow us to see if your problem lies with IE it self or elsewhere, if firefox works fine you at least have a good browser to use in the meantime.

ZoneAlarm firewall - Tutorial
read through this set of full tutorials with pictures.

thank you so much but i am not understanding where this generic 32 thing is so i can allow it. It is not in the programs section. i looked through the tutorials and did not see it either.. am i just missing it?

ok it doesn't say anything about 32, but i found generic host process in the programs and everything there has always been checked allow except for the internet server, and when i click to allow that, it gives me a big warning about how clicking that could cause my system to crash etc... so is there anything else i can do??

So when it tells you about a big warning about how clicking that could cause my system to crash etc... where exactly are you? This does not seem like something that pops up in Zonealarm but more likely in msconfig.

When you turn off Zonealarm do you switch on the Microsoft firewall? Running with no firewall is equivalent to going into town but leaving your front door open and should not be done even for short periods.

To turn on the MS firewall in XP click Start, click Control panel, click Security panel and turn on the firewall. If Vista look for something to do with security after clicking the Control panel and turn the firewall on. In fact if it is Vista you have no need for Zonealarm because the Vista firewall is a 2 way firewall.

yes it is in zone alarm in programs... wheni click on the generic host process then it has the 4 places to put the green allow checkmarks.. they are allowed except for allowing the internet as a server.. i clicked that one and that is when the warning comes up.. i am noticing however that i have zone alarm running right now and i am able to type on this forum meaning i didn't have to shut it down to access the internet.. so maybe i did something right somewhere?? I have not had any boxes pop up though asking me for permission for anything so who knows?

that is why I wanted you to get firefox browser too so we could see if it might be an IE problem, having 2 browsers is a real good idea anyway so you have a backup. I much prefer using firefox and it is safer.
I think as you learn with zone alarm things will work out for you because the za learns also as you click the do not ask me again option for the ones you are familiar with.

If you do happen to turn on the windows firewall be sure at the times you have zonealarm on you do not have it on you can not run 2 at one time.