Make certain your firewall lists the program that is trying to download data as "safe" or "Authorized". I am only familiar with ZoneAlarm in that I could never get it to allow the most common of applications unfailing connectivity.
I searched the Boinc forum (poor search utility) and found that this error is caused when there is no Internet connection. This could be due to your firewall or router dropping or not allowing the connection.
Also on the forum were a number of people having problems with Boinc and ZoneAlarm/firewalls in general. The consensus was to uninstall ZoneAlarm to run Boinc. Not a great choice if you ask me.
another solution to try would be to get a different software firewall and test it. Try the Kerio Personal Firewall at
http://download.kerio.com/dwn/kpf4-en-win.exeThis firewall may not be as easy to setup as ZoneAlarm, but it may work with Boinc where ZA does not.