Hmmm...
My question would be ,, why did you install the zone alarm on the server with the proxy? The proxy should be enough to stop outsiders coming in,,
If you are using zone alarm to stop people from sending SPAM,, then I do not think that is the right product,, you need an email filter,, "efilter"
The pop ups will come as you have to "train" zone alarm what attempted connections are OK ,, and what ones need to be blocked,, this is the only initial pain in the butt about the product,,
Plus,, it interferes with PC anywhere connections,, possibly VPN's etc,,
I guess,, now having some extra info,, i would ask,, What do you want it to do?
If you have the Firewall enabled in XP , plus have the Zone alarm running,, it becomes even a bit more troublesome to configure.
Zone Alarm in the default settings should block EVERYTHING,, until you train it as to what to let through,,
cheers,