Here's one way (I'm sure there are others). This will add a link back to your main site in the header.
Look for the following in includes/templates/YOUR_TEMPLATE/common/tpl_header.php.
<div id="headerWrapper">
<!--bof-navigation display-->
<div id="navMainWrapper">
<div id="navMain">
<ul class="back">
<li><?php echo '<a href="' . HTTP_SERVER . DIR_WS_CATALOG . '">'; ?><?php echo HEADER_TITLE_CATALOG; ?></a></li>
<?php if ($_SESSION['customer_id']) { ?>
<li><a href="<?php echo zen_href_link(FILENAME_LOGOFF, '', 'SSL'); ?>"><?php echo HEADER_TITLE_LOGOFF; ?></a></li>
<li><a href="<?php echo zen_href_link(FILENAME_ACCOUNT, '', 'SSL'); ?>"><?php echo HEADER_TITLE_MY_ACCOUNT; ?></a></li>
Make the changes in red (adjust wording to your liking).
<div id="headerWrapper">
<!--bof-navigation display-->
<div id="navMainWrapper">
<div id="navMain">
<ul class="back">
<li><a href="http://mysite.com">My Site Home</a></li>
<li><?php echo '<a href="' . HTTP_SERVER . DIR_WS_CATALOG . '">'; ?><?php echo HEADER_TITLE_CATALOG; ?></a></li>
<?php if ($_SESSION['customer_id']) { ?>
<li><a href="<?php echo zen_href_link(FILENAME_LOGOFF, '', 'SSL'); ?>"><?php echo HEADER_TITLE_LOGOFF; ?></a></li>
<li><a href="<?php echo zen_href_link(FILENAME_ACCOUNT, '', 'SSL'); ?>"><?php echo HEADER_TITLE_MY_ACCOUNT; ?></a></li>
Just rememer that if someone is in the Zen Cart portion of your site and goes back to your "main" site, anything in the shopping cart will probably be lost due to the loss of the session.