On my opinion if you use a virtual machine to run Zeroshell the bridge forwarding does not work because Zeroshell is unable to put the interfaces in promiscuous mode in the virtual environment. Probably VMWARE do not allow this for security reason. The promiscuous mode is needed because the bridge have to process every ethernet packets. For a workaround try to read the document http://www.vmware.com/support/esx21/doc/esx21admin_virtualadapter.html
In any case, Zeroshell is automatically set to act as router. Of course, you must correctly set your clients and the Internet access router to use the Zeroshell router.