They well may not be set up for gifts. They're trying to keep their overhead down and gift subscription handling is a different processing effort and therefore adds to costs.
Perhaps not quite as much fun, but you could give her a check for the amount in a pretty card with a message about what it's for and the phone number for her to call. Or if you have an old CD you could write your message on it with a marker. If they send something, rather than have the subscriber download the software, it will be a CD.
I don't know anything about NetZero, perhaps someone else does. For instance I have no idea what their system requirements are, and it would be useful to be sure your sister's computer can handle it.
Good luck,
Elena