If you use hardware such as a server or router, rather than a host PC, to perform Internet Connection Sharing, do not follow the steps below.

You can protect all the computers that share the connection from inbound threats by installing Zone Alarm on the 'gateway' machine only. However to receive outbound (Program Control) protection or to see alerts on the client machines, you must have Zone Alarm installed on the client machines as well.

Before you configure Zone Alarm, use your ICS software to set up the gateway and client relationships. Information regarding setting up and configuring Internet Connection Sharing in Windows XP is available from Microsoft here:
http://www.microsoft.com/windowsxp/using/networking/expert/crawford_02july01.mspx

PLEASE NOTE: The DHCP Service is turned on by the ICS Setup Wizard. The DHCP Service can only assign client network pc's an IP Address in the 192.168.0.1 - 192.168.0.255 Range. The IP Range assignment cannot be changed.
If a static IP Address other than 192.168.0.1 is used on the Network Adapter for the Local Network, the DHCP Service will cease to assign IP Addresses to the client pc's. In this situation a separate DHCP program would need to be installed or the client pc's would need to have static IP Addresses assigned.

ZONEALARM SETUP:
Open ZoneAlarm by going to the Windows START menu, Programs, ZoneAlarm and choose "ZoneAlarm Security" and choose Firewall on the left and then Zones. Make sure that your Internet Connection is assigned Internet in the Zone Column, and that the Local Internet Connection is assigned Trusted in the Zone column. If either of these are incorrect, right click the connection and choose Edit. Change the settings as required, click Ok and then Apply on the Main ZoneAlarm Window to save the changes. The local connection cannot be set as Internet or the client pc's will not be able to connect to the internet.

Now choose Firewall on the left and click the Advanced button near the bottom left of the Window. Tick the box "This computer is an ICS/NAT gateway" and select or type in the correct address in the Local Address. It is recommended to leave the other settings are they are, but they can be changed to your individual requirements but it is highly recommended to get it working first before making customisations. Click Ok when done and preferably restart the server and client pc's.

To ensure you have the Internet Firewall configured correctly, you can use this online firewall tester from Gibson Research Corporation (if you are not behind a router... otherwise it will scan the router and not the pc):
https://www.grc.com/x/ne.dll?bh0bkyd2
On the first page it will attempt to harvest information about your pc. There is a Proceed button in the middle of the page to continue. The "All Service Ports" scan on the following page is recommended.