The first section is Spy Site Blocking. And it is just the basic on or off setting. If you turn it off, you will not be warned if a site has been transmitting spyware.
The next section is the Spy Site List. This is a list of sites that you have visited that have been transmitting spyware. If you try to visit a site, you will get a popup warning and then the site is added to the list. If you are absolutely sure that you want to visit the site, you can change the setting in this window and visit it. This list gets purged every time ZoneAlarm is shutdown and restarted EXCEPT for those sites that you have changed the settings for. So if you change a setting, but want it to block you the next time you visit, then you need to make sure you delete the site from the list after you are done.