The official line is, Zonealarm free (I presume that is what you have), doesn't support Internet Connection Sharing. That doesn't mean it can't be done but don't expect any help from ZoneLabs.
I managed it after following a post on the Zone Labs forum but it was swiftly deleted. It seems Zone Labs prefer you to buy the Pro product in order to do this. It is possible to set it up but it's a bit fiddly and involves a lot of extra configuration and you have to reduce internet zone slider to medium to allow access.
I have since got a router which makes things a lot easier. Some of the other free firewalls are said to support ICS.