Even in WIndows firewall u can specify the application to allow... or when the application tries to access that port u will be presented with a message box where u can unblock the port...
yes u can do it with ZONEALARM.
doubleclick on the icon in the system tray.
Click on the firewall,in the 'Main' tab, under the 'Internety Zone Security',Click on custom, & set your settings.
i use Zonelabs too