I'm a little confused. What says that a port on your firewall is closed? A program?

The main purpose of a firewall is to close ports so that hackers and others cannot get through them and invade your pc. So, basically, if you have Zone Alarm Pro installed, it's doing its job by closing ports.

Do you not have internet access working on the computer? You're using a proxy I take it?

A lil more info would be helpful. For example, what is telling you that you have a closed port? Are you trying to run a program/browse the web and it's telling you this? etc etc ...

Well, proxy servers are used by corporations and businesses, etc to do some advanced filtering techniques on networks. For example, many have firewalls built in. Therefore, the firewall on your personal computer won't matter because it has to go through the proxy's gateway - and if that one is firewalled, there's no way around it.

Is this a personal proxy? (e.g. something you set up) or does is it from a business or school, etc?

Sometimes people set up home web servers on weird ports. For example, the http:// request is typically on port 80, but people can run it from port 200, port 8080, etc etc etc. If you are only getting this error sometimes, it might be because the proxy server is set to disable http:// requests coming from weird non-standard ports (other than port 80).