Sygate for me, I'm on NTL BB and the only thing that slowed me down was IE, got shut of that now I'm on Avant and it's real fast again, why not have a play around with other Firewalls and see how you go, my brother had Zone alarm and it made him ill with all the intrusions he was having he got shut maybe you should too ?
your problem is that you are running windows me and zonealarm which are not compatable together. therefore suggest you install a differant firewall such as, say sygate which is free and works well with windows me.
If your that concerned why not get a router with a built in firewall and just use that, lock all ports except 80 and usually they recognise stuff like games/etc trying to access the internet and will ask you if you want to allow it to. Or upgrade to XP and use the XP firewall... Beside if your still using windows ME your asking for trouble, I reckon thats the worst version of windows I have come across, especially security wise.