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The other suggestion that someone simply used your email address to get it is a possibility. But it could also be a phishing attempt, designed to fool you.
I have Zone Alarm on my work computer and I've never seen anything called a "Program Firewall Alert." I've been getting a lot of alerts recently because someone somewhere seems to be intently trying to access my computer. But looking in the ZA help, I don't find anything called by that name. They have lots and lots of kinds of alerts, so it's rather suspicious that the email would single out one of them. Also, I've never seen an alert with any kind of diagram.
For curiosity, you might mouse over links and see what URL is linked to. But don't click them. Also, don't believe that if the the URL starts with what looks like a zonelabs address, that it necessarily is. They can construct a long URL that looks like that but really re-directs the link to somewhere else.
I think you were smart not to do anything with that email.
Oh, one other conceivable possibility: Does anyone else use your computer? If so, ask them if they got it. (BTW, my Zone Alarm is in a folder under "Program Files" called "Zone Labs." I don't remember for sure, but that's probably the default install directory.)
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