if i recall, zonealarm has an ebay site check thing to ensure that you havent clicked on a dodgy hyperklink. handy i guess if you're stupid enough to open the ebay suspicious activity emails.
i dont know but maybe before the site can load in your browser it is blocked by zonealarm and the url checked against a database of real ebay url's before it is loaded.
turn it off in zonealarm if you think you know when you are being fooled and see if that helps.
If not then try and click on the link next time you get a scam email and see what happens. as long as you dont enter your login details and you have up to date antivirus definitions then you will probably be alright but disclaimer::: maybe you'll get a nasty that will mess up your pc