Just create the geo zone definition through the Zen Cart admin. Doing an SQL import is quicker for sure, but if you don't know what you're doing, then the standard method of creating the zone definitions in the admin is by far easier and less error prone. (plus once you get it entered, you could export the SQL if you wanted to for future use)

There's a small video on the MZMT index page that shows how to go about making geo zone definitions in the admin, if you're not sure how to. To keep the size small, the camera pans around quite a bit, but you should be able to follow it. On the MZMT index page, look for the link titled Download "Shipping Geo Zones Creation Help Video". I think it is in QuickTime format.