You do not need to do anything with files except load images in your images file. You need to do a db drop and copy. The related tables in your zencart db are categories and categories_descriptions.
You need to use a db admin panel your host provides to alter/edit this area to mass import the data you want imported.
Its a catch 22 you can't ez pop data that has not been configured someplace. At some point we all have to do the mindless data entry to get our initial setup done. This may be the case in your situation.
Also try this thread. I have not really read it but it does cover your possible need. Looks somewhat dubious so I don't know that I'd go this route myself as nothing is as easy as it appears.
http://www.zen-cart.com/forum/showthread.php?t=116061
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