I don't see any obvious reason straight off to blame ZoneAlarm. If the download in question was initiated OK and left running then ZoneAlarm presumably allowed the traffic in question and, unless the download subsequently attempted to use other blocked protocols/ports, presumably would have allowed it to continue. Perhaps the download failed simply because of network problems or restrictions (e.g. your ISP resetting the connection in line with the relevant service agreement terms & conditions or download/session limits)?
Does zonealarm reset itself if pc left and blocks everything on or is it something else I am missing ?
I don't understand this bit - perhaps you can clarify?