Try uninstalling both LW & ZA, then reinstalling LW & finally reinstalling ZA? Making sure that LW is installed before ZA has fixed the problem for a few Vista users
Also, make sure that the Windows firewall's off & that ZA is allowing LW.
PortForward.com - Free Help Setting up Your ZoneAlarm Firewall.

Try this version of Java, some people have had connection problems with the latest updates. Download the JRE offline installer & remove any other Java versions before you install this one.
Archive: Download Java 2 Platform Standard Edition (J2SE) 5.0 Update 11

When you set up port forwarding, did you use the instructions here?
Port Forwarding for the Linksys WRT54G
And did you make sure to set up a static IP adress first? Otherwise port forwarding won't work.