One of the few good things ZoneAlarm does, is it blocks what it calls web bugs. Little 1x1 pixel images many sites plant in web pages as a means of tracking visitors.

My guess is, this is what you're seeing. IE just sees them as images with some sort of error, so it displays the default icon for such things. This is the fault of ZoneAlarm for blocking the images, but not sanitizing the HTML sent to your browser to remove the reference to that image.