Hmm... ZoneAlarm, eh? I've used that before, but now I'm using Tiny Personal Firewall. It's good.

But anyway, delete everything that has something to do with MSN from the list. Then connect with MSN and answer all questions in ZoneAlarm with Yes (or anything that makes MSN allow to connect). If it happens again, then I don't know, because I forgot how ZoneAlarm works.

So, yeah... Good luck?