Me too, but not to worry. Open up Zone Alarm Control Center go to the Program Control Tab. Verify that ALL programs in the Internet zone listed are set to "Ask" or to "Block". A well-configured firewall is a lifesaver.
This must be somewhat new, 'cuz earlier this month something tried to perp me thru FTP, and with the settings I described, I got a Zone Alarm popup that indicated that there was an attempt to call out over ftp. I declined the invitation. BTW, I found the file left by the perp C:\system\dos\temp\tmp\1.txt. It was an ftp script dated 12/2/03 replete with the ip address for the server used by the dum**ss who tried this. He also tried a CONNECT to my apache web server two minutes earlier.
The only way I know of how I got this was thru an ill-behaved applet / malware while surfing.
Hope this helps.