From what I understand, it is still possible for other people to download from you (assuming that they aren't behind a firewall as well.) The software handles firewalled IPs by sending a push request to you, which means your system will attempt to initiate the transfer, rather than the person who wants the file (whose normal requests are blocked by ZoneAlarm.) Of course, this doesn't work if their firewalled as well, because they're firewall will block the transfer initiation attempt made by your computer.
Basically, a lot of people can still download from you, but a few can't. I'd suggest disabling the pop-up warnings in Zone Alarm, because they get really annoying pretty quickly (especially since you will often get connection requests for a significant period after logging off gnutella)