To turn off my Zone Alarm I just click on the task bar, or is it the system tray?? icon for it and a little menu pops up where I can choose actions to do.

You have to turn it back on, or like with the MS updates you need to do a system restart so my ZA starts up again as usual.

If yours doesn't have that option I think just open it and find the close or exit button - just while you get the updates.