ShauntN:
Help, still not working
You shouldn't have to do anything re special coding. Just make and turn on your header banners.
In admin/configuration/layout settings I named my three header banners to header1, header2, header3. Then go to admin/tools/banners and make your banners, assigning them to your header1, header2 and header 3. It started working for me.
You can try it by just using the default demo header banners that came with zencart...are they still in your admin? Just set them to the header banners, probably best to practice with the smaller horizontal banners ("if you have to think..." "start accepting credit cards..."
EDIT: I see the site looks complete now, and I see a footer banner. Just turn on a header banner and it should show in slider. That's where the header banners appear.