It's actually very unlikely that web traffic is blocked at the firewall (unless you mean the file type is blocked?). What you may need to do in such a setting, however, is use the same proxy that IE uses, because direct traffic may be blocked.
The simplest way to do that is to use a high level windows API or IE itself, and HTTP download the latest helpfile if there is a new one - these mechanisms should know about any proxy.
Of course, your users may not be using IE, even if most are. So you might need to allow the user to specify the proxy, or be able to auto configure the proxy in the same way that the browser does it.
edit: I see you mean zonealarm is part of the problem. yes, that is tricky as you will have to either get your application 'blessed' centrally by whoever manages zonealarm in the customer organisation, or (if there is no central management) then the user will have to allow the app to communicate. Perhaps you should bite the bullet and have the online help simply be a website, and spawn the preferred browser via 'executing' the URL as suggested in another answer.