When you are updating the first time, the following window may pop out, you should tick "Remember this setting”, then click OK and it is done. (See Figure 1):
Figure 1
If the above window doesn't appear, please follow these instructions:
Double click on the ZoneAlarm icon in your system tray(see Figure 2):
The ZoneAlarm main window would appear, click on Program Control -> Programs, to look for nod32krn.exe. Then in the Access Column, choose Allow. (See Figure 3).
Figure 3
And then the configuration is finished.