Port 137 is used sometimes for NetBios attacks via the internet, netBios is designed for use with networks to allow sharing of information. If you are using windows 9X then there is a known bug with netbios. Not sure if this is whats happening though as I have never used zone alarm. Im sure that it stops UDP packets though.

https://grc.com/x/ne.dll?bh0bkyd2

If you go to this link you can test your security.