You should be able to program ZA to allow you to log on. Its in there some where, however there are other alternatives to ZA that are also free. Just do a google search (free firewall programs} and it should show you several. The thing is, most of them have to be programed or at least given permission for program permission to acess the internet.
Try reading some of the tutorial for setting up firewalls for the specific one you are going to use.
I personally use ZA and have had no problems with it, but there are otherss out there just as good. The windows firewall is ok, but not as effective in some areas as other that have been on the market for a time.
Good luck.......................Sterling