Messenger will work with Zone Alarm if you set "Internet Zone Security" on Zone Alarm to Medium. (Default is High.)
The difference between High and Medium is that the High setting makes your computer work in Stealth Mode. Your ports are protected and hidden from other computers. In Medium Mode your ports are protected in just the same way, but they are not hidden from other computers.
If you are concerned about lowering Zone Alarm's setting to Medium, you can set Zone Alarm to Medium while Messenger connects your Voice Conversation, and then put Zone Alarm's setting back to High as soon as you are connected.
Andy Lynch, October 2003