Hi Ki, THere might be two probs, actually. The first, as you said, might be your zone alarm. The softare needs to be able to access ports 443 and 80, so you need to tell ZA to let it do that. The second might be a video issue. Do you have a good video card / decent amount of ram on it? If not, try going into the browser, click the Advanced button to get into advanced mode, then, on the menu at the top, click Options > Settings and choose the Video tab. Try the different video modes to see which works best (doesn't crash the app.) Also try downloading the latest drivers for your video card.
Hope that helps some! If you still have problems, holler back.