If Windows is telling you you have no firewall on then maybe ZoneAlarm is not installed or working properly.
Open the Windows Security Centre and see what Windows say you have installed and working.
Once you turn on ZoneAlarm it turns off the Windows firewall and stays turned on.
Some malware / spyware programs try to turn off your security so run spyware checks to see if you have an nasty spyware on your PC.
Malwarebytes is one tool (there are others)
http://www.malwarebytes.org/