The check locally feature should NEVER be used to install user created files. Using this feature adds unecessary files to your game.
The best thing I can suggest to you now is to go to the downloadfs section and in Utilities download the ZT Registry Cleaner. unzip it and install it. It's only a very small program. after you have installed the registry cleaner uninstall ZT. Run the registry cleaner to remove any traces of ZT. Now reinstall ZT and let it run to be sure the game is working properly.
Now to install all the files you downloaded go to the link Sheltie gave you in the above post and follow the install instructions.
Remeber ZT has limits on the dll files so make sure you also have the combined dll files for the buildings. They are found in the Utilities section as well they are langza01,02,03 be sure to read the enclosed text document with the files. This will greatly reduce the number of dll files you will have to install for the buildings to work properly.
Some animals also have dll files so keep in mind that ZT will only accept up to 63 dll files including the ones that came with the game so be careful when installing.