Not trying to insult your intelligence, and I am sure you did, but did you unzip the flash image you’ve downloaded?
For me the process was as follows:
$ wget http://…/ZeroShell-3.0.0-Disk-2GB.img.gz
$ gzip -d ZeroShell-3.0.0-Disk-2GB.img.gz
$ dd if=ZeroShell-3.0.0-Disk-2GB.img of=/dev/sdX
At first it did not work for me too, as I connected the external USB drive enclosure to a hub which was generating read/write errors. Once discovered that using checksum, I connected to the motherboard port directly, ran dd again and that time it worked.