Before you can power up your Pi Zero, you will need to program in the SD card with an Operating System
Much like your computer has Windows, Mac OS X or Linux on it to make it run, the Raspberry Pi needs something to help it boot and run software. That software is Raspbian Linux (a flavor of Debian Linux). You can check out our tutorial on What Is Linux if you're curious to learn more
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Once downloaded, unzip the zip file, the full image is about 4.5 Gigabytes.
Next up grab your SD or micro SD card reader and plug it into your computer
Once you're done, plug the micro SD card into the slot indicated. It will fit snugly in place but you won't hear or feel a 'click'