Frankly, make it simple on yourself and shutdown Zonealarm while using Xbox. Let the XP firewall do the job during that time.
It will work fine as long as you don't have any trojans or other malicious software trying to send data out of your PC over the internet. (something the XP firewall doesn't block)

How to know if you got a problem?
Running an anti-virus with current definitions would be prudent. Also, setting Zonealarm to "ask" before allowing any incoming or outgoing data can tip you off to potential problems. A window will pop-up if any programs or program components want to access the internet.
(Go into>Program Control>Components and set everything to "?")

hope that helps a bit..