The Zone Alarm firewall should not slow your internet speed down. If it blocks something, that's what it's suppose to do. If there is a safe choice whether to allow access, you will get an alert.
ZA has an excellent Help section. Go through that and make sure you have it configured correctly. If slow problems continue with your internet speed, contact your ISP> that's where 'internet speed' comes from.
Having too many programs starting up and running in the background would delay your srart up speed also, in addition to surfing speed, but you do not mention this. It isn't ZA.