Windows Installer Update.
Zip Backup to CD are using the the MS Windows Installer. It requires that the Windows installer exist on the machine. It is already installed on the majority of machines, but if you need an update check here:
Windows 95, 98, Me:
Windows 95, 98, Me Installer Update
Windows NT, 2000 (XP is up to date):
Windows NT, 2000 Installer Update
If you get the following messages during install you need the Windows Installer Update:
Error 0 running command msiexec.exe /i ZipBackup3nn.msi