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I'm not an expert on this, but I think you have to manually open ports to host in some online games (including vicky), which is something you cant do in Zonealarm, unless you have ZA Pro...
Oh, I though ZA Pro could do that, but I'm probably wrong then. ZA wont let you host to my experience, but joining games shouldn't be a problem if that's what you mean... Unless you have a router or something I don't know what could cause it.