I am not currently using the latest version of ZoneAlarm, but suspect your encounter is part of its normal operation since ZoneAlarm employs SmartDefense Advisor, which uses a list of known-good applications/companies to automatically allow/deny activities without having to alert/prompt you. Microsoft and Internet Explorer are on that list, so I would fully expect IE to be allowed automatically unless you specifically block it or disable ZoneAlarm's SmartDefense Advisor.
Hope this helps,
I just updated ZoneAlarm Free to version 9.1.007.002 (also running Windows XP Pro, Firefox 3.6, Avast). The Program Control feature to choose between "Allow - Block - Ask" is not working the same as in my previous version of ZoneAlarm. I have Microsoft Internet Explorer selected as Ask (? in all 4 columns) but when I open this program the pop up window that asks to Allow or Deny access does not appear, the program opens as if it is selected to Allow. But, some of the other programs that are selected as Ask have opened this pop up window for permission. For MSIE I have Removed it from Programs but it later reappears without having opened it, when I select Block, that feature does work. Does the (new) Browser Security feature override my personal Program settings? Any suggestions on what I need to do to regain control of what programs I want to ask for permission to access the internet?