Why am I able to connect with my axim just fine over a BT connection but when I plug it in to the same computer using a USB cable, I have to disable my firewall (free zone alarm)?

I can't answer the question about the BT, but I had the same problem with Zone Alarm Pro, what I did to fix the problem was to uninstall and then re-install Zone Alarm, when you reinstall choose the option "clean install", this will cancel out your program "allow" settings. connect your axim through USB (cradle or wire),the Zone Alarm pop up warnings will appear for each program related to the axin(there are 3 or 4), click "remember" and "allow". Your axim should now work with the Zone Alarm fire wall.

It's because BT is a serial connection but through the USB cable it's actually a TCP/IP connection.

Always read stuff that will make you look good if you die in the middle of it.