The ZXTM binaries need to know where you have installed the ZXTM distribution on your system. They determine this by looking at the value of the environment variable ZEUSHOME. The correct value of this variable will be auto-detected if not present, but could be set to /usr/local/zeus (or whatever path is suitable for your installation) if this procedure fails.
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 ZXTM into /usr/local/zeus. If you installed it somewhere else, replace this path with the correct one.