1. Make sure that you didn't have proxy set up on IE.
2. Turn off firewall.
3. Turn off anti virus.
And see if it work, if not, follow below steps.
4. Uninstall .net 3.5, restart your computer
5. Uninstall ZP, restart your computer
6. Reinstall .net 3.5 (I am using .net 3.5 SP1)
7. Reinstall ZP
Test again if ZP work, if still not, then..
8. Look for "Phalanger 2.0" on the list of your "Add or Remove Programs", uninstall it.
9. Look on your Temp folder, you should have "Phalanger" folder or "Phalanger" installer in there as you just reinstall ZP, if you cannot find it you can also search on Google, then reinstall Phalanger. Now that your connection problem should be solved.
Note: Thank you to ZP support guy who help me resolved this problem.