Yeah, it might be a browser object, so could be spyware. Does SpyBot, the spyware detector notice anything? If so, clear it.
Since you are using ZoneAlarm though, you can program it to stop it asking you, so it always dissallows it.
Open it up, and go to the Program Control tab on the side. Then at the top, select the Programs tab.
Find the exe file which is asking for permission on the list and simply click on each of the 4, Access: Trusted, Internet, and Server: Trusted, Internet and select a Cross for each.
It should then stop bothering you if its nothing bad, and will be blocking it anyway
I hope this helps