click on the preceding link, save it to your desktop.
Next, doubleclick on the za.exe item on your desktop;
this should create an icon (file) called "za2601.exe" on your desktop.
(close the DOS window if it persists.)
Doubleclick on za2601.exe,
this will begin the installation process of zoneAlarm.
Follow the instructions of the installer.

For more information, please see:
Free ZoneAlarm Firewall installation information