A few forums have people moaning about Zone alarm and compatibility issues with avg.
Are you using AVG anti virus?
Have you turned off your windows firewall as this will conflict.
Personally,vista's firewall along with the hardware firewall in your router should be perfectly adequate.
If you really feel you must have a software firewall whynot try Comodo or kerio to see if they are any better.Both are free and well recommended on this forum.