Yeah, don't be worried about zone alarm blocking things. I have had 79,388 "access attemps" but they don't nessaraly mean that each one is a hacker or someone trying to take over my computer.
Another good program that blocks tracking cookies automaticly is "Spy Sweeper" available
HERE, just click on the "Free Trial" button in the upper middle of the page. If they have changed the trial so that it expires after a few days, I can give you and older version that I use which never expires, it only asks you to suscribe once in a while. Even though it is a bit older, it still blocks the tracking cookies.