straight from the zone alarm pro help file:
Understanding Zones
Zone Labs security software keeps track of the good, the bad, and the unknown out on the Internet by using virtual containers, called Zones, to classify the computers and networks that connect to your computer.
The Internet Zone is the "unknown." All the computers and networks in the world belong to this Zone-until you move them to one of the other Zones.
The Trusted Zone is the "good." It contains all the computers and networks you trust and want to share resources with-for example, the other machines on your local or home network.
The Blocked Zone is the "bad." It contains computers and networks you distrust.
When another computer wants to communicate with your computer, Zone Labs security software looks at the Zone it is in to help decide what to do.
for more detailed information
download the help file .pdf and look up the page called "Understanding Zones" under the heading of "Zone Labs security software basics".