We often find that Internet Explorer problems can be traced back to add-ons, (IE > Tools > Manage Add-ons).
Since IE 3 or 4 Microsoft integrated IE into the Windows Operating System, and problems with IE carried into general Explorer problems, eg Windows Explorer, Desktop, My Documents, My Computer and so on. This also includes the File > Open dialogs of many applications as they are just mini-explorers.
You don't say how you solved your IE problem, but I wonder if the damage is still there. ZoneAlarm doesn't specifically, as far as I can tell, have any Office or Word components. I use the same ZA myself and I have not seen anything like that. I feel your options are as follows;
1] Reset IE back to default.
Open IE and goto Tools > Internet Options, then Advanced tab. The Reset button is there. Bewarned though, this removes everything from IE and that includes Favorites, cookies, history, web-page login details that IE has stored, as well as add-ons and 3rd party toolbars. Favorites can be backed up, (exported), so that it can be imported back afterwards, but there is no way to save or backup the other things.
2] Try Word's "Detect and Repair" option in Word > Help > Detect and Repair.
You will probably need the Office CD to continue with that.
3] Uninstall Office and reinstall.
Goto Vista's Control Panel > Program and Features, uninstall Office. Again you will need the Office CD to complete the procedure.
After the uninstall I would remove the Office CD and reboot, (restart), the computer. This will finalise any uninstall deletions.
When Windows is fully loaded again, insert that Office CD and re-install Office.
I hope that helps.
Mark