ZoneAlarm is a firewall - it's purpose is to block incoming & outgoing transmissions. MSE is not a replacement for a firewall, it is anti-virus.
With that said, you should only be authorizing programs that need internet connectivity and you should also be running anti-virus software.
But it sounds like something is running using your processing power. This could be zonealarm; firewalls and anti-virus programs are know resource hogs ... a necessary evil as it were. I would suggest downloading Process Explorer from the
recommended freeware utilities and run it in a window to see what is using your cpu; then try clicking the programs that delay start. It won't fix the problem but it will hopefully show you what is slowing your system.