Very basic steps :
1. Shape and textures must be in the same folder
2. Textures in TGA and flipped vertically ( compared to those opened in the GP4builder ) . If it is a conversion , you don't need to flip the textures to work in the zmodeler but you will have to do it for using in the game ( tex files )
3. Go to material editor in the zmodeler and rename each object exactly as the name of the texture and tick unused in the type box
Read all the tutorials you can and watch videos as well , takes time and a lot of determination and patience .
Don't start to work with zmodeler 3 , it's to much complicate for a beginner , I never used it . Try the zmodeler 1.07 , most of the tasks can be done on it