Well, I **FINALLY** got it working.
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You have to add "idisk.mac.com" to the Trusted Zones in the Zone Alarm control panel and then follow the <a href="http://help.apple.com/mac/17/help/idisk/pgs/dsk17.htm" target="_blank">information at .mac</a> for adding the iDisk to Windows. The procedure is probably similar for other software firewalls on Windows.
Thought I'd pass this bit of information on because Apple and .mac say nothing about what to do with (very common) software firewalls on Windows when adding an iDisk and Windows offered *no* error message of any use.