I'm no expert in Zone Alarm, but it appears that Zone Alarm is detecting a program on your computer that is attempting to 'net access. ZA is acting as a gate-keeper, and doesn't like what it sees.
That being said, you can get SpyBot directly from:
The program is free, but the author asks for donations.
Save it to the hard rive, then run the program. After it installs, run the installed program again (in "Easy Mode" if it gives you the option), then click "Search for Updates" (need to be on the 'Net to do this). It will then search for updates. Click to download program updates, and then you'll have the updated program.
After that (and after you log off the 'Net), click "search for problems" and the program will look for over 7000 known pieces of spyware or other types of security/privacy compromisers. This will take a few minutes. Then go from there.
After that, click "Immunize".
Hope it helps!