Well, had to figure this one out on my own... seems like not too many people really know this stuff or those who do don't want to share.
To get the zilb working...
OK, well, at least on NT/2000, lets assume you have extracted your PHP files into c:php
You need to move/copy the php_zlib.dll out of the c:phpextensions folder into the c:php directory. Then in the php.ini file which I think gets put in your c:winntsystem32 folder, you need to uncomment the one line that references the zlib dll file
It seems easy but it wasn't intuitave.