Just started experiencing this problem on my machine recently, with Zonealarm forgetting the application privileges I'd set after rebooting XP. Here's what Tech support had to say;
Hi,

ZA/ZAP now has a feature to protect the database file in case of corruption by the firewall service not being shut down improperly. It maintains a backup copy of the most recent good file - if the system crashes, or processes are killed, or if ZA/ZAP is shut down improperly, upon restart ZA/ZAP will revert to the previous database file.

If you seem to have this problem, the workaround is to shut down ZA/ZAP - simply right-click on the icon, and then select Shutdown, and the changes should be made permanent. You do not need to do this every time - only when you have made changes to the settings. Our engineers are working on this issue, which is usually found on Windows XP machines, but can occur on other OS's as well.

Hopefully this'll be of use to some of you.

It was driving me mental - Darth Maul.

Thanks. That was driving me M E N T A L !!!!