The problem with ZA -- from what I understand -- is that its protection is almost "too robust." I may not be describing this very well, but I read somewhere that uninstalling the software triggers some kind of defensive mechanism that prevents the user from over-writing the old ZoneAlarm DLL files. So when you try to install the new version, there is some sort of incompatibility between the "old" DLL files and the "new" ones.
Does that make any sense?
You have an XP firewall, it comes with one, it's in the settings along with Display, Network, etal.
Use it, it's very good. It turns on immediately, at the beginning of bootup and stays on through shut down. These are critical phases that can allow your computer to be killed. All the third party firewalls are off during these times. They bite. Leave it on even with a third party firewall.
If you follow my suggestions, you'll be fine. If you must use IE, install Spybot Search and Destroy and Spywareblaster. They'll preload the settings to save you headaches.
Get off the internet
From control panel >add/remove & remove old ZA (if no removal icon look for a Zone labs folder in windows explorer & delete)
Reboot in safe mode (F8 on boot up) & install new ZA download.