The last tab sheet 'Configure', contains several configurations of the program itself. These configurations do not have an impact on the security.
Be sure that the 'Load ZoneAlarm at startup' is checked, otherwise ZoneAlarm will not start up automatically with Windows.
Not sure if this is any use to you, to read it in context click here
I've stopped using Zone Alarm. I've noticed many issues with it from day one. I've started using Kerio Personal Firewall. The lite home version is free for personal use. It seems to run much more smoothly than ZA ever did for me.
What OS are you using? You shouldnt stop using Zone Alarm for one single issue. Unless you are having big problems, and many you should consider changing firewall. I would try Beemer's suggestion, if that doesnt work try uninstalling it, and reinstall it after. If that doesnt do the trick either, try entering 'msconfig' in Run and see if any start up program called Zone Alarm (or similar) is checked, because if its unchecked the program wont start in Windows start up.
There is definitly an option to start it when windows boots. Start zone alarm , go to the overview tab and check the settings. There is a checkbox labeld Load ZA at startup, under "general". It should be checked.