OK to restore IE to it's default settings (I know this works on IE6, but not sure about earlier versions, for the Start > Run commands, so use those at your own risk):-
1) Launch IE, go to Tools then Internet Options.
2) On the General tab (which it launches to) delete cookies and temporary
internet files, including all offline content.
3) Go to Advanced tab, lower right, click on restore defaults and click Apply.
4) Go to Programs tab, middle left, click on reset web setting, (recommend
you deselect reset homepage).
5) Go to Privacy tab (if present), if Default Levels button is active click it.
6) Go to Security tab and for each zone set levels to Default Levels if said
button is active, click OK.
If that doesn't work, then do all of the following, clicking OK after each:-
Start > Run > regsvr32 urlmon.dll
Start > Run > regsvr32 Shdocvw.dll
Start > Run > regsvr32 Msjava.dll
Start > Run > regsvr32 Actxprxy.dll
Start > Run > regsvr32 Oleaut32.dll
Start > Run > regsvr32 Mshtml.dll
Start > Run > regsvr32 Browseui.dll
Start > Run > regsvr32 Shell32.dll
Not recommended that you use the Internet without a firewall, so if you decide to get rid of ZA, make sure you get something else, like Sygate (link below), as Clive suggested.