Assuming it is Exchange 2003 since you did not specify if it was exchange 2003 or exchange 2007.
I do not know if the zen.spamhaus.org needs any registration, but for configuring the blocklist follow the description on this link
http://www.msexchange.org/tutorials/Blacklist_Support_Exchange_2003.htmlTo activate the filter:
Then go to administrative groups -> first administrative group -> servers -> your mailserver -> protocols -> smtp
Right click Default smtp server.
On general tab press advanced
Choose your ip adress/ (all unassigned) and press edit
click Apply connection filtering
Then ok back to system manager.