I was able to get ZA to work with ICS under Win2KPro, but it wasn't stable. If I wanted to make a change to the network, I had to jump through hoops.
From what I remember, I had to disable ZA (including services) Get ICS working, re-enable ZA, and then go into ZA and under the Advanced Security, set the network (and maybe each PC) as a trusted zone.
As I said, it would work for awhile, but any little change would upset the apple cart, and I would have to redo it. I finally got tired of messing with it, and bought a Linksys router/switch when they went on sale with a mail in rebate. That solved my network issues. 🙂