Same problem here. Online "support" states that the problem is related to background a process(es) and directs the user to shut them down prior to executing the NetZero program.
I found this to be false and have even went as far as loading the NetZero program as THE Shell... which basically means it is the only program that is launched outside of VxD services.
Other users in other forums have reported no change after shutting-down background processes. The program (or/and the its Setup) is just flawed. Its been flawed for -over almost a year now and they still have not rectified the problem.
Since they have not solved it by now, I would assume that either they're not aware of the problem (which is difficult to believe) or they have some unmentioned benefit in not fixing the problem.
Most can simply surf with the program still up... so the only one loosing-out is NetZero.