If you have an internal ZIP drive, NT SP3 or later has built in support. If your zip is external, you will need to download and install the correct drivers from iomega.com/support. These files are self extracting and contain good install instructions. The drivers in the box are probably OK but those on the manufacturer's site are current.

As a rule of thumb, check the manufacturer's web site for new drivers on any device you add to your PC. Like all such rules there are exceptions. In particular, I have seen several cases where the new, improved driver made the PC unstable (video drivers in particular)