What is this firewall alert ICMP protocol problem

I have recently put together a new PC with WinXP Home SP2 (I was previously
using Win98SE).

On both the new and the old machine, I use a Linksys BEFSR11 router with the
same configurations on both machines. I also use Zone Alarm free

With my old Win98 machine, I never had any incoming alerts. The router
seemed to have blocked everything. Effectively the ZA was checking outgoing

With the WinXP machine, however, I am getting quite a few alerts - mostly to
do with the following alert:

Rating : medium
Protocol : ICMP (type:3/subtype:2)
Source :
Destination :
Direction : incoming

The description states that a packet was sent but the ICMP was unreachable
and (presumably the return) was blocked.

I never got this with Win98. Is this something to do with WinXP, or is there
another problem. I know from ZA that this is not really a problem as the
firewall blocked it anyway, I would just like to know why I am getting it
and if I can stop it. It talks about something on local networks that can
cause it, but I am the only PC on the router and I have no network.

Thanks for any advice you can provide