Not sure which version of zonealarm you have tried but 'ZoneAlarm Free' should work with Windows 98. Anyway, here is a link listing many firewall programs, of which the following are for Windows 98 and are free.
ZoneAlarm Free, Sygate Personal Firewall, WyvernWorks Firewall.
http://www.pcworld.com/downloads/file_description/0,fid,7228,RSS,RSS,00.asp
Hope this helps.
BS Degree in Engineering.
25 years experience in computer programming and troubleshooting. Planning & Construction Management