You should download the USB image of Zeroshell on a Linux system (also Zeroshell works fine). After you have the image, plug your usb device in the system and after some seconds uses the command
to understand how the system maps your USB storage (we will suppose /dev/sdc for the example).
Write the image with the command:
gunzip -c ZeroShell-1.0.beta9-USB-1GB.img.gz > /dev/sd_c
Please, don’t forget to substitute /dev/sd_c with the correct device, otherwise you could damage your system. In addition, keep in mind that all files on your USB device will be destroyed.