How can Iinstall Zone Alarm Pro 5.1 on a remote machine over the
Remote Desktop connection? If I simply install it, it shuts down the
Remote Desktop connection and I lose control of the machine.

Has the other machine got SP2 installed?

You're encountering an issue that should probably not have a
resolution. That is to say, if one installs a firewall remotely, one
should be locked out immediately upon activation of the firewall.
Otherwise, the efficacy of the firewall is certainly in doubt.

This is a free comment.

boyo62, no, the remote machine is not SP2.