Most of the times zeroshell is installed in dedicated hardware for networking on a network card, something like the ALIX/Wrap boards that is not that expensive.
In my opinion, this firewall/routing stuff, shouldn’t be virtualized other than for testing.
In any case, the esasiest way to install is into a compact flash card, you just follow this instructions and you’ll have a booting system on a copmact flash with the space to save your profile.
If you still want to boot from the cd, zeroshell will look for any attached storage device (i.e. a pendrive connected to the pc) to save your profile.