In this example, we know that the program that is trying to access the Internet is a valid program, but what if you didn't know what it was?  All you have to do is click on "More Info" under the AlertAdvisor warning.  You'll see a description of the program that is trying to access the Internet.  If the description is ok, then you're okay.  If you happen to be infected with a virus or trojan, then the description will say so and advise you to block the program from connecting to the Internet.
 

In this case, we know that Norton Antivirus is safe, so check the box labeled "Remember this answer the next time I use this program" so that it won't prompt you every time you run this program again.  Click "Yes".

Now look in the ZoneAlarm Program Control.  You'll the program you just allowed or denied listed with the setting you chose for it.  In the example here, we just used the one called "LiveUpdate Engine COM Module".  You can see that the program is allowed to access the Internet, but it isn't allowed to run as a server unless it asks you first.  Looking at the list, the only program that is allowed to run as a server is "Internet Information Services" which makes sense.

ZoneAlarm will go through this training period where it will ask you for permission each time a program tries to access the Internet or act as a server.  I suggest that once you install ZoneAlarm, you quicken the learning of ZoneAlarm by using all your programs that access the Internet right away so that the permissions can be set quickly.  Run your email programs, servers, messengers, update programs, games, etc, until the ZoneAlarm list is fully populated with the programs and their respective permissions.  This is especially important for your server programs.  Access your website, ftp, mail, or any other server program you have on your computer and set the permissions right away.  You don't want to find out later that your ZoneAlarm was blocking your web visitors for the past 2 weeks.  For a few days after you have installed ZoneAlarm, I would pay special attention to ZoneAlarm to make sure that your computer has learned the proper settings and your visitors can still access your site.

Alerts & Logs Section - Main Tab Make sure that "Alert Events Shown" is set to "On" (which is default).  You want to be notified when ZoneAlarm is blocking and intrusion since you want to make sure that the intrusion isn't actually a visitor or something desirable.  If you set this to "off", you'll never know what's going on.

Alerts & Log Section - Log Viewer Tab Here is a log of all the activity that ZoneAlarm has seen.  It's a good idea to look through this once in a while to see if there anything really bad going on.  This section is also very useful for troubleshooting.  For example, if you can't connect to the webserver from the outside of your LAN and you don't have any pop-up messages, you should check these logs.  If you see a entry that is blocking a port that you want open, then you know to adjust your settings to be more open.

E-mail Protection Section - Main Tab You can leave the MailSafe Settings to "On".  This helps prevent you from getting email viruses.
 

This is a basic guide to setting it up for your computer, I highly recommend sitting down and really playing with it to test out all the features so that you fully understand what's going on.  This piece of software really requires a lot of trial and error.  Change a setting, try it out, change a setting, try it out.  ZoneAlarm is a very good firewall, especially for free.  You just need to make sure it works for your particular setup.