Zone Rates using Zone Code & Country ISO Codes?

[kobra]

My situation is as follows:
1. I want to have free shipping for Order to be delivered to the Country: Malaysia, Zone: Federal Territory KL, Zone Code: FTKL
2. Shipping to other zones within Malaysia to be varies depending on the zones, e.g Zone Code: MEL,KCH would have one shipping charges depending on weight, where as Zone Code: PEN, SBH would have another shipping charges depending on weight.
3. I also need to have another shipping rate to other countries, e.g. Country: SG & BN sharing the same weight related rate, Counter: US, CA share another weight-shipping rate.

If you go to admin > locations/taxes > zones > and view the ones for Austrailia and there are 8 - then you will also see that there are none for Malaysia.

You need to select new zone and create one for each region in Malaysia to start.
Then in zone definitions you will be able to setup different zones with the regions that belong to this zone