I found this:
This Information Applies to:
All ZoneAlarm Products
Windows Explorer (WE) wants to access the Internet.
Due to the way that Microsoft integrates their software, sometimes other programs can show up as Internet Explorer processes, and vice versa. This is dependent on what OS, software, and browser version you have, and the order in which programs are opened up. A few examples of these include "Windows Explorer" (WE), "Windows Media Player" (WMP), and others.
NOTE - Several recent Trojan Horse programs have installed using the name Explorer, hoping that users would simply grant it access. Be absolutely sure that it is the Windows version, if you are going to allow it access. If you have any doubt at all, you should not allow it access.
Internet Explorer may run in the same process as Windows Explorer by default. For information about this, use the link below, click to search the Knowledgebase, and then search by Article ID, and enter 240928: Microsoft Support
In addition, more recent Windows versions include Universal Plug N Play, which can also cause this. For more information on this check the Microsoft support site: Microsoft Support
Here are a few things that can result in WE asking for access:
When a new browser window is launched
When accessing bookmarks via WE
If Active desktop is in use
When browsing network folders
If WE is configured to view web content
If WE is configured to launch folder windows in a separate process.
For me, Windows Explorer only gives me a prompt if I have advanced program control on. From there, ZoneAlarm Pro warns me that explorer is trying to use another program to access the internet. However, as a Win98SE user, I never needed to give it access.
http://forums.zonelabs.com/zonelabs/board/message?board.id=cfg&message.id=7091 posted Dec. 20, 2003
I have Windows 2000 OS. Just a while ago ZA launched a window saying Windows Explorer wanted access to the internet. This is the third time this has happened, weeks apart, over the past several months.
At the time, at least this time, I only opened a folder I have on the desk top that I open quite often, almost every day.
Why would Windows Explorer ever need access to the internet. And yes, Bob, I have run all the little programs you recommand, virus, adware and trojan, I come up clean. Except maybe for a doublclick or two.
Is there a reason for Windows Explorer to EVER require a connection to the internet?