Okay, the entire path is:
C:\Program Files\Microsoft Games\Zoo Tycoon 2 (or ZT1). That's what to use for downloads.
If you're looking for the Saved Games, the path is:
C:\Documents and Settings\YOURNAME\Application Data\Microsoft Games\Zoo Tycoon 2\Default Profile
If you cannot see it, it may be that your owner/administrator has not chosen to show hidden files. If it's you, you need to allow those to show. If it's NOT you, you need to ask about them showing them for you. Hope that finally helps.