When you start a challenge zoo you immediately get a scenario, which you must accept or decline. This is a new feature in ZT2: ES. Have you checked to see if you have accepted a challenge, but have not completed it? What map did you select?
I randomly selected an alpine map and this is what comes on the screen before you can start the game....
"Game Challenge"
"Welcome to Challenge Mode! When you successfully complete a challenge, you earn cash or other rewards. However, if you fail a challenge, there may be negative consequences for your zoo, such as money penalties or a decline in guest attendance. All challenges are optional, so if you're not interested in once, just decline it."
"Acme Amusements Inc..."
"Accept this challenge?"
I have a screen shot of it, but I do not know how to post it.