Progams asking to connect to internet

[Azagoth]

No, it's not a virus but it's bloody annoying.

If I'm connected to the interweb and fire up, say Steam, the "connect to internet" box pops up even though I'm aready online. This happens with the majority of programs too, like just now the Java updater asked to connect, even though I'm quite obviously already online.

I'm, on XP by the way, so does anyone have an idea as how to negate this irritation?

 

[Azagoth]

No, Zone Alarm. Fully updated and configured for the relevant programs to have access.

 

[Azagoth]

Yeah, I always tick the "don't ask" box and yet it still asks me everytime! As for the dial-up connections thing, I use Firefox not IE.