Hi Claudio,
Try to check under ZoneAlarm's Program Control Panel then programs, see if the internet components and windows components have access to your Trusted local Lan & the Internet. You have to grant the access so that ZoneAlarm will not check every programs trying to access the Internet...
If you have set permission and still very slow, I think you need to re-install zonealarm and choose single User PC & not Networked or LAN.