Short answer YES.
ZoneAlarm is not an AV or spyware app. It is a personal firewall.
That basically means that it isolates your computer from the internet, only allowing connections you want...that's the theory at least.
In reality it has added bells and whistles that overlap the functions of other apps...or they've added functions that overlap it. What it boils down to, though, is that you don't want to be running two of the same kind of app at the same time.
So, if you run ZA, you turn off XP's built in firetrap...err...firewall. You don't run two on access AVs at the same time, etc...