the free version of zonealarm does not allow networking. have you tried turning zonealarm off first, then setting your network up. (disconect from net as well just in case) or maybe try a firewall that does allow networking
advise you to find a different firewall if you want to network, when i first started mine, i had a total of 7 different posts on this subject only to find that zonealarm was the problem in the end. I now use panda titanium all in one, it's easy to configure for each computer to see each other from. Something the free version of zonealarm doesn't.
One other thing has the Voyager got a built in hardware firewall, my Belkin does and on doing checks found my computer as invisible with the belkin firewall as with the zonealarm software one so I got rid of the zonealarm and just have XP's own as a backup to belkins.