Sure. Just allow access for Media Player. Launch Media Player and connect to web media from it, ZoneAlarm should prompt you to allow or deny. Select Allow, check the Always option. It should work. I have no problems at home connecting from my PS3.
edit: This works for the XP Media Player. I don't use ZoneAlarm with Vista, so I don't have an answer there. Should be similar though. I think Media Player is still the control app for Media Centre.