Don't bother trying to get the download.
Antivirus programs (like AVG) need to be updated frequently because the people who write viruses or create trojans keep coming up with new ways to infect your PC. However, all that a firewall does is to block unauthorised access to your PC's ports. Once the ports are blocked, that's it; nothing else is required. (i.e. a basic firewall program should never need updating).
Zone Alarm is available in two editions. The free one (which I assume you've got) is just a basic firewall. As long as you're using it in conjunction with some decent antivirus software, such as AVG, it's all you need. Zone Alarm Pro includes additional features which mainly only duplicate what your antivirus program does (so you don't need it). The only reason for those 'update available' messages is to take you to a screen which tells you how much better the Pro edition is (and, obviously, to tempt you to buy it). You don't need Zome Alarm Pro so, therefore, you can just ignore the 'update' messages.
Chris