okay no big deal, this should be Zone Alarm, probably including an scanning plugin for your browser, what they call "advanced download protection"
... and this should as I say mean that the plugin is scanning for viruses, not much to do with a firewall >>> I mean even if ZoneAlarm flagship product is the firewall, you may have noticed that your suite contains a "Antivirus/Spyware Scan Engine" okay? so it's that that allowed your trojan to get through. Firewalls don't scan okay?
And if there's a place where you may need to complain, it's on ZoneAlarm forums
they'll tell you how this could happen. Okay, this said, ZoneAlarm is... a very outdated piece of software, conflicting with many things on a PC, especially other security software. You'd be better off if you got rid of it. Now I understand that you probably paid a subscription, so that's your choice