Welcome to our Board,
baggio.
ZoneAlarm and eMule don't go well together - that is a long known fact.
Yes, some people use it without any problems having occurred (so far), but the original ED2K-client eDonkey warns about incompatibility with 3 programs and ZoneAlarm is one of them.
There's quite a few firewalls, which are reported to be ok for use with eMule.
I, for myself, after getting trouble with ZA last year switched to Kerio Personal Firewall (freeware for home use only) and run it without any problems.
I recommend using the older version Kerio 2.1.5 - do a search on eMule to find it, it's there!
HTH