WG 4 Explorer.exe not responding

Hello:

About a month ago I downloaded and registered the latest version Wormguard 4.0. I just have one problem. When I shut down it says
Explorer.exe not responding, with an End Now Button. When I click the End Now button, the PC proceeds and shuts down. I can
live with this.

This pc has Windows XP Pro Sp1, all security patches (excluding Service Pack 2) McAfee Enterprise Virus Scan 7.1, Zone Labs Pro Firewall version 4.5.538.001. This problem does not occur if I manually shut down Zone Alarm. It coexists with McAfee.

When I click Remove (Protection) in the Wormguard main window, then shutdown, the problem goes away.

I'd like to install and license it for 9 other PC's at work. I installed it on a second PC in Eval mode, a Dell Optiplex P4 2.8 Ghz, WinXp Pro with all Security Patches except Sp2, which has McAfee Enterprise Virus Scan 7.1, and Lavasoft's Ad-Watch TSR (which guards the registry startup keys). It does the same thing - explorer.exe not responding when it's shut down. I suspect it may be conflicting with the Ad-Watch TSR.

Is there anything that can be done to stop the Explorer.exe 'not responding' messages without sacrificing other essential programs?

Eric