Churchmouse, please see the link with the FAQ. I've prepared there somewhat more detailed instructions where to find those configuration options in ZA.
From the "Web Shield Issues FAQ" at
http://www.avast.com/eng/webshield_issues.html#idt_6871:
Q: I use Zone Alarm firewall and have troubles logging into my web mail service (Yahoo mail, Hotmail etc.)
A:
The inability to login to Yahoo or Hotmail email services commonly results from the privacy settings in Zone Alarm being set too high. You can do one of the following:
Add Yahoo Mail (mail.yahoo.com) to your site list in the Privacy area. Make sure at least "Session cookies" and "Persistent cookies" are allowed.
or
Turn off Privacy settings (Cookie Control) completely.
Just how do we do this? Color me dull grey, but I've checked all tabs available in Overview, Firewall and Program Control areas of Zone Alarm's program interface, and have seen nothing to this effect. The only settings available in Program Control are
Medium,
Low and
Off. I can't find any reference to "Cookie Control" or Privacy settings.
To turn on "Privacy filtering" for the Web Shield provider:
Open Zone Alarm control panel
Choose Program Control
Choose the tab "Programs"
Find the line with "avast! Web Scanner"
Right click on the process name and choose Options
Check the: "Enable Privacy for this program" checkbox.
Also consider checking the option “Authenticate program by full path name only” on the same dialog.
When I right-click on the process name --
any process name -- the only options available are
Remove and
Add program... 
Chrchmouse
If you choose to install and run another firewall, turn off Windows Firewall." (emphasis added)
I use ZA Pro and have had the MS Firewall on ever since I installed SP2... Many month ago. I've never seen any adverse
effect because of this. 
But, I don't have ZA Pro -- just ZA Basic. I realize that might not have anything to do with program incompatibility, but I'm not sure lukor caught this. He might be referring to control options only available in ZA Pro.
