Red X instead of images on some emails

Hi
I've read the advice on this board about red Xs when internet viewing, but that is not where my problem is.
Some emails show red X instead of images. Today I had the same email from two sources, one showing the images correctly, the other red Xs. ~ Why ? ~
I have the latest Sun Java and Shockwave installed - what am I missing here?

I have XP SP2
AVG Free
ZoneAlarm Free
Ad-aware
Spybot S&D

On thinking about it, the problem only started when I installed ZoneAlarm a few weeks ago - can anyone advise me of a workaround please?

Many thanks
Pam