how to make zone dropdown?

for example
i select country USA,
the the state will appear dropdown list for usa areas.

You could go to Locations / Taxes ... Zones ... and add them, or look in the Plugins and search on:
Zones

and find numerous Zones that can be added ...

If you are referring to CREATE ACCOUNT, I get your point... right now, the COUNTRY selector is BELOW the STATE selector... meaning that you need to SKIP OVER the state selector, choose the country, then go BACK to the state selector...

I fixed this some years ago by CHANGING THE POSITIONS of the fieldsets in the tpl_modules_create_account.php:

ORIGINAL ORDER OF FIELDSETS:

<?php
  if (ACCOUNT_STATE == 'true') {
    if ($flag_show_pulldown_states == true) {
?>
<label class="inputLabel" for="stateZone" id="zoneLabel"><?php echo ENTRY_STATE; ?></label>
<?php
      echo zen_draw_pull_down_menu('zone_id', zen_prepare_country_zones_pull_down($selected_country), $zone_id, 'id="stateZone"');
      if (zen_not_null(ENTRY_STATE_TEXT)) echo ' <span class="alert">' . ENTRY_STATE_TEXT . '</span>'; 
    }
?>

<?php if ($flag_show_pulldown_states == true) { ?>
<br class="clearBoth" id="stBreak" />
<?php } ?>
<label class="inputLabel" for="state" id="stateLabel"><?php echo $state_field_label; ?></label>
<?php
    echo zen_draw_input_field('state', '', zen_set_field_length(TABLE_ADDRESS_BOOK, 'entry_state', '40') . ' id="state"');
    if (zen_not_null(ENTRY_STATE_TEXT)) echo ' <span class="alert" id="stText">' . ENTRY_STATE_TEXT . '</span>';
    if ($flag_show_pulldown_states == false) {
      echo zen_draw_hidden_field('zone_id', $zone_name, ' ');
    }
?>
<br class="clearBoth" />
<?php
  }
?>

<label class="inputLabel" for="postcode"><?php echo ENTRY_POST_CODE; ?></label>
<?php echo zen_draw_input_field('postcode', '', zen_set_field_length(TABLE_ADDRESS_BOOK, 'entry_postcode', '40') . ' id="postcode"') . (zen_not_null(ENTRY_POST_CODE_TEXT) ? '<span class="alert">' . ENTRY_POST_CODE_TEXT . '</span>': ''); ?>
<br class="clearBoth" />

<label class="inputLabel" for="country"><?php echo ENTRY_COUNTRY; ?></label>
<?php echo zen_get_country_list('zone_country_id', $selected_country, 'id="country" ' . ($flag_show_pulldown_states == true ? 'onchange="update_zone(this.form);"' : '')) . (zen_not_null(ENTRY_COUNTRY_TEXT) ? '<span class="alert">' . ENTRY_COUNTRY_TEXT . '</span>': ''); ?>
<br class="clearBoth" />
</fieldset>

MY CHANGES

<label class="inputLabel" for="country"><?php echo ENTRY_COUNTRY; ?></label>
<?php echo zen_get_country_list('zone_country_id', $selected_country, 'id="country" ' . ($flag_show_pulldown_states == true ? 'onchange="update_zone(this.form);"' : '')) . (zen_not_null(ENTRY_COUNTRY_TEXT) ? '<span class="alert">' . ENTRY_COUNTRY_TEXT . '</span>': ''); ?>
<br class="clearBoth" />
</fieldset>
<?php
  if (ACCOUNT_STATE == 'true') {
    if ($flag_show_pulldown_states == true) {
?>
<label class="inputLabel" for="stateZone" id="zoneLabel"><?php echo ENTRY_STATE; ?></label>
<?php
      echo zen_draw_pull_down_menu('zone_id', zen_prepare_country_zones_pull_down($selected_country), $zone_id, 'id="stateZone"');
      if (zen_not_null(ENTRY_STATE_TEXT)) echo ' <span class="alert">' . ENTRY_STATE_TEXT . '</span>'; 
    }
?>

<?php if ($flag_show_pulldown_states == true) { ?>
<br class="clearBoth" id="stBreak" />
<?php } ?>
<label class="inputLabel" for="state" id="stateLabel"><?php echo $state_field_label; ?></label>
<?php
    echo zen_draw_input_field('state', '', zen_set_field_length(TABLE_ADDRESS_BOOK, 'entry_state', '40') . ' id="state"');
    if (zen_not_null(ENTRY_STATE_TEXT)) echo ' <span class="alert" id="stText">' . ENTRY_STATE_TEXT . '</span>';
    if ($flag_show_pulldown_states == false) {
      echo zen_draw_hidden_field('zone_id', $zone_name, ' ');
    }
?>
<br class="clearBoth" />
<?php
  }
?>

<label class="inputLabel" for="postcode"><?php echo ENTRY_POST_CODE; ?></label>
<?php echo zen_draw_input_field('postcode', '', zen_set_field_length(TABLE_ADDRESS_BOOK, 'entry_postcode', '40') . ' id="postcode"') . (zen_not_null(ENTRY_POST_CODE_TEXT) ? '<span class="alert">' . ENTRY_POST_CODE_TEXT . '</span>': ''); ?>
<br class="clearBoth" />

Similar treatment can be given to the change-address functions.

very good, thank you for your answer