I got zlib from
http://hackage.haskell.org/cgi-bin/hackage-scripts/package/zlib-0.4.0.1

I copied it to a directory C:/Program Files/zlib-haskellpackage
I used cygwin to unpack it (tar xvfz - if you don't have cygwin,
  to this from a windows machine, and move the directory to that place)
Then I went to that directory and from a command shell (use runcommand from Startup menu 
  and then Cmd) I went to there and didd the cabal thing:
  runghc Setup.hs configure
  runghc Setup.hs build
  runghc Setup.hs install