Maksim:
First, try disabling (or "turning off") the Zone Alarm Security Suite. Then, run the Windows network setup wizard. For example, in Windows XP:
1. On the computer that is connected to the Internet, right-click My Network Places and click Properties.
2. In the Network Connections window under Network Tasks, click Create a New Connection.
3. Follow the instructions in the New Connection Wizard to establish a direct cable connection between the two computers and to share the Internet connection.
Let us know if you need more help.
Doc