I've not found a proper answer yet either, but you can make life better.
There is another similar question on this site. The answers there suggest that you can lower the Internet Zone Security on Zone Alarm Pro to Medium. With this mode set MSN Messenger works properly.
I've not found a better answer.
(Changing your Internet Zone Security setting to Medium doesn't seem to be dangerous. The same security is still protecting you. The difference is that your computer is visible to the outside world, rather than hidden as it is when using the High setting. The bad guys can see you, but they still won't be able to hurt you.)
Arnie
December 2003