You should install the precompiled source Kernel that you can download from the download section http://www.zeroshell.net/eng/download. You must also install the gcc compiler and the binutils.
To install the software you have to obtain a Read/Write installation of ZeroShell. Look at the post:
http://www.zeroshell.net/eng/forum/viewtopic.php?t=210
Regards
Fulvio