whether you allow or deny depends on the following question:
Are you using Messenger at the moment, and is somebody online trying to
reach you (e.g. send you a file, voice or audio transmission) ?
if you are not using Messenger at the moment, then choose Deny.
if you opened a conversation window with a friend, and they specifically
stated that a file is being sent to you, when the ZoneAlarm prompt
popped up, then choose Allow. the same is true if they specifically
indicated that they want to start a voice or video conversation with
you, when the ZA prompt popped up.
if you have a conversation window open with a friend(s), but nobody
specifically stated that a file is being sent to you (or specifically
indicated the desire to start a voice or video conversation), when the
ZoneAlarm prompt popped up, then choose Deny.
generally speaking, the same is true with ZoneAlarm as is true with
Email (or even with packages delivered to your doorstep). if you don't
know where it is from, and nobody you know specifically stated that a
package is being sent to you, then the safest thing to do is Not open,
Not execute it, and Not allow it entry into your home or PC.
you do not need to allow server rights in ZoneAlarm in order to exchange
text messages in Messenger.