In brief, as an answer to just the question mentioned as the title of this article, the following applies:
1. You must have a "Premier" or "Business" PayPal account in order to use the PayPal module for receiving payments.
2. Log into your PayPal account and go to the "Profile" tab.
3. Click on "Website Payments Preferences"
4. Change Auto-Return to "On"
5. Provide return URL: http://www.mysite.com/MY_SHOP/index.php?main_page=checkout_process (for nonSSL sites) or
https://www.mysite.com/MY_SHOP/index.php?main_page=checkout_process (for sites with their own Certs) or
6. Also on the same screen, lower down: PayPal Account Optional - your choice. If you set this to "On", then people who do not have a PayPal account can still pay via their credit card through the PayPal site, without having to create a PayPal account (although they'll be encouraged to create one).
Note: The sessions work automatically. Do not change your sessions setting in the Zen Cart Admin.