I´ve been looking all over the place to find an answer to your exact question.

The thing is that, theoretically it should work by opening all those ports that you mentioned but only for the program, i.e. for Messenger only.

If you have to open all those ports for the Firewall Configuration in general, then why the hell use a firewall in the first place, no.

So far, I´ve been trying like crazy to find a way to solve this issue but so far it seems that the only way around it is to close Zone Alarm when you want to talk and then enable it again.

If you find out a way, please let me know.

Best of Luck