ZA + networking (gaming or otherwise) on your OWN LAN == pain in the a..e
That's my main beef with ZA atm, even if I set all the PCs on my LAN to have each other's IP as a trusted zone, hosting/joining still barely works unless I just kill the net connection and turn it off on each....
I really don't have much an idea on what's going up, I assume you've already done all the usual stuff upon installing ZA such as making sure WinXP is using it as the firewall program (rather than it's crap built-in one, introduced in SP2), and have the Zone Securities set to Med/High (based on preference) in the Firewall->Main tab, other than that, no clue here, unless there really is a hole open in the firewall.
(albeit it probably doesn't help that the version I'm using v6.5, been too lazy to upgrade to 7)