I've got v6 (WinXP home)and up till now it's been working fine. But today I get a pop up telling me that I'm behind a firewall that does not allow direct access to the internet. Also that IE proxy settings are either missing or incorrect. I know there was an issue about this with AOL, but I'm with Zen.
Is that a windows pop up, or some dodgy site trying to get you to turn your firewall for their benefit? If it's windows messenger service (I think, grey pop up box in the centre of the scren) I'd ignore it and turn windows messenger off. Has your access to the internet gone or not?