>This was a brand new installation of ZoneAlarm on this computer. I did a complete uninstall and reinstall, with no help or change in behavior.
>

I know how that feels!

Nothing helpful leaps to mind if it was new. I've installed in on about 50 machines and never come across that particular behaviour. If its Zone Alarm Pro you can of course email their support team - I've found them pretty clued up in the past.

Wild guesses might include checking permissions for the ZA directory and that none of its files have been marked read only.

I assume, as a new install, you've got the program in "learning" mode. In which case, it will nag quite frequently for the first few days until its memorised not just the programs but all the components. Try checking if - when its asked permission and you've ticked the "remember" box - whether the program or component actually appears in the list of programs or components with appropriate permissions. If it doesn't then you have a problem with write permissions. If it does, then try shutting down ZA and re-opening it (without a reboot) and see if its still in the list. (That proves its saving the data) If it is still in the list, now try a reboot. If its now disappeared from the list I suspect your Windows environment is helpfully doing a restore or something similar...