Blimp, ZoneAlarm can be configured to restrict certain programs' use of the internet. As far as I know, you can allow JJ2 (Jazz2.exe) to have outgoing priveleges and server priveleges.
By giving JJ2 server priveleges, any IP address will be allowed to connect, but only to JJ2. I would highly recommend doing this, rather than shutting down ZoneAlarm. If you shut down ZoneAlarm, it leaves your computer open to hackers while you are playing JJ2. And if you are like me, you will forget to turn it back on when you are done playing.
I don't use ZoneAlarm any more, so I can't give specific instructions on how to do this. But I have used it in the past, and I know there is a way to give programs server priveleges. If you can't figure it out, try looking in the help file or on their website.
Hope this helps! 
__________________
With our extreme gelatinous apology,
We beg to inform your Imperial Majesty,
Unto whom be dominion and power and glory,
There still remains that strange precipitate
Which has the quality to resist
Our oldest and most trusted catalyst.
It is a substance we cannot cremate
By temperatures known to our Laboratory.
~ E.J. Pratt
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