Unless I'm adding the hotkey wrong .. But I've done it like this before, is this:
*Hotkey CTRL+ALT Z "C:\Program Files\Zone Labs\ZoneAlarm\zapro.exe"
I pretty much followed how it's setup in the hotkey.rc file, but directed it to go to the zone alarm file..

Phenix0000: When I add that specific hotkey, I have to remove it again to have the hotkeys work.