| It's hard to describe, but hopefully somebody knows what I'm talking
| about. It sits on top of the little tray icon that turns into a
| connection meter when you're transmitting or receiving. It's blocking
| the d/l side and really pissing me off!
| I don't even know what it means anyway!
As explained in the help files installed with your copy of ZoneAlarm,
the little balloon is a small representation of the blocked traffic icon.
It tells you that there was traffic blocked without presenting you with a
full alert window each time. This can be easily disabled by going to
Alerts&Logs >> Advanced >> System Tray Alert and unchecking the first box.