Gimme a break...
He never specified an OS. When I ran ZoneAlarm under Windows 98SE back in the day - I never noticed anything unusual or unidentifiable come up. But then again, he could be running a spyware/adware infested 2000/XP system... like you.
While we're on the topic - I think that noticing a few files missing isn't cause for concern in the first place. God knows stuff goes "missing" off my hard drive all the time. I just know by now that I obviously deleted it a while ago, and was either in some sort of ecstacy-induced trance or just plain can't remember doing it.
Brandon