ooh, bad idea to go online without a firewall ... what you need to do is configure ZoneAlarm to allow your music downloading app of choice to connect to the internet and download.
Try turning it back on and then trying to download - what does it say? Presumably it gives you some options to configure the program's access.
In addition, I strongly suggest you update all your AV and anti-scumware definitions and do full system scans: you've almost certainly got some nasties from being out there without a prophylactic, so to speak. Run Stinger, as well, from here