ZoneAlarm (the free and other versions) will work quite well with most programs, but many of the car rental sites, travelocity.com, orbitz.com, tdwaterhouse.com with Level 2 info etc will often conflict to some degree and not run properly.
My solution is to turn off ZoneAlarm as I use these sites and turn it back immediately on after I exit them. ZA will keep a record of attempted "breakins" etc if you desire.
MisterNice