If you have a windows xp or windows 7 setup you might try using physdiskwrite to write the zeroshell embedded image to the cf card. I have used this method many times and it has always worked for me. Physdiskwrite will automatically uncompress and write the image to the cf card.You must be careful to choose the correct drive when writing the image or you can mistakenly overwite your main drive.
Here are a few links that may help you:
http://www.zeroshell.net/eng/net5501/
http://www.zeroshell.net/eng/forum/viewtopic.php?p=633&sid=b1bc1fe622da2b975b347b28fbac7bd6
http://m0n0.ch/wall/physdiskwrite.php
http://doc.m0n0.ch/quickstartpc/setup-installing.html
Write a .img to a Compact Flash with Physdiskwrite