This should also be the basic steps for the Free Version:

For ZoneAlarm Pro 3.0:

1. Begin at ZoneAlarm Pro Control Center (if ZAP is minimized to tray, simply right click on the "ZA" symbol and choose "Restore ZoneAlarm Pro Control Center".)

2. From left-hand column, choose "Privacy" (below "Alerts & Logs" and above "Email Protection".)

3. Click menu tab that says "Site List" (next to "Main", under "Help", in right-hand corner.)

4. Click on "Add" button on bottom right corner of Control Center (above "Options".)

5. A box pops up that says "Add sites to your privacy list by entering the URL below" and then asks for "URL".
Type in the URL for the site like: www.traveltalkonline.com <http://www.traveltalkonline.com>

6. Click "OK".

7. Locate the site you just entered in the list of sites and right click anywhere on that line. You are given the choice of "Remove" and "Options". Choose "Options".

8. You are given the options for the site you just entered. Under the "Cookies" menu, go to the "3rd Party Cookies" section. Uncheck "Remove Private Header Information". Click "Apply" at bottom. Click "OK" at bottom.