I think have sort of an idea of your problem is....Zone Alarm works with Windows 2000 and Windows XP...not with Win98se.
That I would try meaning uninstall ZoneAlarm completely. Don't get me wrong its a great firewall for Win2000 and WinXP yes, but not for Win98se.
Another thing to try is checking the modem settings, the Internet Settings, make sure that they are correctly set.
By the way which Internet Provider is being used...? That could also affect this issue very much so.
Try this also. If you don't have hyper terminal installed...install it and type in a modem number that you know works and all of its settings. If a bunch of junk shows up on the screen tne you might have some line noise on the phone line too.
Just some ideas...hope that helps