The Zeus binaries need to know where you installed Zeus on your system. They determine this by looking at the value of the environment variable $ZEUSHOME. This variable should be set to something like /usr/local/zeus.
The way you set an environment variable depends upon which shell you are using. If you are using sh or bash then you should do:
$ ZEUSHOME=/usr/local/zeus
$ export ZEUSHOME
Alternatively if you're using csh or tcsh, then you should do:
% setenv ZEUSHOME /usr/local/zeus
Note: the above examples assume you installed Zeus under /usr/local/zeus, if you installed it somewhere else, replace with the directory under which you installed Zeus Web Server.