This is for windows only
unzip or uncompress the zip or tar file
go to your xampp's htdocs folder
rename the zend folder to simply zend
move the zend folder to your htdocs folder
open the zend folder and you should see a library folder( if you see zendframework -[version number here] rename that folder to zends and right click it an pick cut.. go back to htdocs folder and right click and pick paste. Delete the zend folder and rename the zends to zend.)
go to the php folder of your xampp folder(usually C:\xampp\php) and edit the php.ini file
search for include_path and added the path to your zend's library folder
mine looked like this when I found it
include_path = ".;C:\xampp\php\PEAR\"
now it looks like this
include_path = ".;C:\xampp\php\PEAR\;C:\xampp\htdocs\zend\library"
notice the paths are separated with a ;
next open a cmd prompt and change the directory to your zend's bin folder or type
zf.bat create project project_name_here
if no errors it created your new project, if you get php.exe is not a command change the %PATH% to include C:\xampp\php and it should work after that.