I don't think you want to put zonealarm on a server. This will restrict all types of access (unless you permit them, and do you know about every access type you can have?) and generally cause problems. Best way would be to get a hardware firewall to go between the server and the Internet.
First, make sure all patches have been applied to your server, and that Exchange is not an open-relay (check Exchange forum for the 100+ threads that can tell you how to stop this.) If you don't have IIS (no outlook web clients?) running, the only open port should be 25 (for the exchange server.) Protect this using a AV product.
Alex