That is certainly not normal, I haven't seen anything like it in the forums, what version of Zone Alarm are you using ?
Have (or did) you have another AV installed in this system, if so what and how did you get rid of it ?
What other security based software do you have that might block new startup entries, e.g. Spybot S&D (TeaTimer), AdAware (AdWatch), SpySweeper, PrevX, WinPatrol, ProcessGuard, etc. ?