See if the program's builder was good enough to leave you an entry in the Add/Remove dialog. Failing that do a search of the files on your comp for the offending wanker and delete the folder it's in if possible and the exe for sure.
When you install Zonealarm make sure to have it ask you for permission when you start a program that asks for Internet access. When you look in ZAs permission list there should entries for your browers, Outlook/OE, FTP clients, any IM programs you might you, download managers, ect. that you start yourself or know that you have set to start automatically(such as download managers being tied in to the browser session) and stuff you have denied permission.