Zonealarm doesn't check for adware or spyware, and adware and spyware are both fond of undoing any changes you might make. After all, you're only the user, the owner of the PC, why should you be given any choice?
Clamp down on them by downloading software such as Spybot: Search and Destroy (you can get that from www.download.com ) and get it to remove anything it finds, then - if the folders haven't already gone - try removing them again.
If all else fails, get mozilla web browser from www.mozilla.org which doesn't allow scripts to alter your environment like internet explorer does.