When I try to start a video conference via AIM I get a message that a
connection cannot be made.  I suspect the firewall(s) at either or
both ends are blocking the data.  Can you please tell me how to setup
Zone Alarm pro to get this working?

I note that 

http://aimtoday.aol.com/features/main_redesign.adp?fid=video_im

suggests opening ports 1024 to 5000, but with ZoneAlarm I need to
enter more information about the protocol type: UDP incoming/outgoing,
TCP etc

Also, the following site (under 'firewall issues') suggests opening a
different range of ports:

http://www.alltm.org/ichat.html#fw

Can you please step me through exactly what needs to be done?  I'm
happy to try a few options, if need be.  (Zone Alarm is running at
both ends). Please try to open as few ports as possible.  Thanks!

I would suggest trying Port Magic
(http://www.purenetworks.com/products/portmagic.php)

It checks for ports trying to be used by programs and asks if you
would like to open them. Similar to a firewall but not quite the same.
They offer a free trial of their program on the website too.