Somehow I have a feeling that schollboy's advice is partially what you were after... Although his advice is absolutely correct for a basic requirement, I fear you're asking for something different.
newegg is using something called layered navigation which is not supported by Zen Cart. If I'm not mistaking, Magento is the only open source platform that supports layered navigation.
What you could do is use Linked Products. It's quite hard to accomplish on a computer store having thousands of items, but it can be done with some effort.
Basically, you create a top level category called Hard Drives. Then create subcategories with all the sublevels (RPM, Capacity, Interface...) and add the same product in all matching categories. Let's say your category structure is like this:
So, you have your 1 TB 7200 RPM Internal Harddrive. You will put that product under Hard Drives->Internal->Capacity->1TB+
- yadayadayada - you get the picture :smile:
Then, you'll duplicate that product (as Linked) into Hard Drives->Internal->RPM->7200. Then you'll duplicate again as Linked into Hard Drives->Internal->Interface->SATAII. Then again Linked into Hard Drives->Internal->Buffer->16MB
This is not easy work, but I don't think there's anything else you can do with Zen Cart to accomplish what you're after. And, this would definitely work best with a flyout menu. Also, this is not the perfect solution, but only a workaround that MIGHT help.
Unfortunately, Zen Cart lacks filtering capabilities, but we can only hope v2.0 will give us more on that...