I have just been on Gibson Reasearch's page, and the do a Firewall Leak test. My ZoneAlarm Failed.

http://www.grc.com/lt/leaktest.htm

Answer:
Overview - Product info - Support and Update Information:

For Technical Support click here [it says]…

On the bottom right of the internet page displayed, is a link for the Support Center (Contact Us)….

However…

Program Control - Main - Program Control

is probably set to “Auto Learn” - it's the default on installation (or upgrade, I think). The description here says “Temporarily less secure, but creates fewer alerts”.

Change this to Max. (it changes automatically 21 days after installation)

AND

Program Control - Programs…

right click on “Firewall Leak Testing Utility”

Remove.

Now run leaktest.exe again.

ZA will alert you that Firewall Leak Testing Utility is trying to access the web.

Deny access.

You'll find that Leaktest was unable to connect.

Hope this helps…