See if this helps with your ZA Pro.
PortForward.com - Free Help Setting up Your ZoneAlarm Firewall.

Have you just recently installed that Java 1.6.0_01? A few people have had connection probs with that version. Try this one instead. Use the JRE offline installer & remove your current Java version before you install this one.
Archive: Download Java 2 Platform Standard Edition (J2SE) 5.0 Update 11

If that doesn't help, delete LW's preferences folder when LW's properly closed. See point 3 here & also point 2 if you've used older versions of LW in the past (there could be a folder in either location).
Fixes for LimeWire
This will kill all of your settings within options, you'll have to go back through afterwards & reset things. If you're not sure of your settings, go through LW's tools > options & write them all down, so that you can reset things later.

You could try port forwarding for your router...see if that gets rid of the firewall icon. The instructions are here.
Port Forwarding for the Linksys WRT54G
Don't forget the step of setting up a static IP address first. LW's listening port, port in the 'manual port forward' box & port forwarded within the router all have to be the same number