According to ZA, the Windows Explorer message occurs if the setting is on High. Reduce the setting to Medium and the message goes away. Check your logs in Zone Alarm and see if the IP 127.0.0.1 shows up, it is localhost, your machine and nothing to worry about.
Explorer.exe is the Microsoft Windows Program Manager A.K.A. Windows Explorer. It's main function is to manage the Windows Graphical Shell including the Start menu, Taskbar, Desktop, and File Manager. If your remove or terminate this process the graphical interface for Windows will disappear and you will need to restart your computer or hit CTRL + ALT + DELETE and click file, run new task and type in "explorer.exe" and hit enter. Explorer.exe is important for stability and security while running your computer and should not be terminated.
Note: explorer.exe is also a process which is registered by symantec as a trojan. This Trojan allows attackers to access your computer from remote locations, stealing passwords, Internet banking and personal data. This process is a security risk and should be removed from your system.
Determining whether explorer.exe is a virus or a legitimate Windows process depends on the directory location it executes or runs from.
(win XP) is in C:\WINDOWS\explorer.exe
*(VISTA) is in C:\WINDOWS \explorer.exe