Thanks for those that have replied - I've managed to crack it finally! (With absolutely bugger all help from our hosts Hostpapa.)

Eventually I did get them to forward a phpinfo page for the new server and also one from a server yet to have the upgrade. After comparing the two I noticed that the only relevant setting that was changed was
session.use_only_cookies
which used to be off and with the the PHP upgrade to 5.3 it by default gets set to ON.

As it is CGI-running server (I learnt the odd thing or two!) I uploaded a php.ini file in the root of the server with the sole line being:
session.use_only_cookies = off

This immediately fixed it and the callback was coming through, orders into ZC, confirmation email to customer from ZC etc.

I'm glad it's over, just wished the hosts (who you would think would be knowledgeable about the possible solutions) would have responded sooner!

btw, I did check those session settings in ZC first.
Also, to anyone frantically doing a google search, like I've been doing the last 5 days, I am on ZC 1.3.9b and Worldpay for ZC 2.10


Bye,
Nick