If you have a drum brain or even a keyboard that has drum sounds and a midi in you won't need to purchase BFD or any other sound module (at least to get started). When I got my ZX, I already had a Roland drum brain and used it for almost a year before upgrading to Superior Drummer 2.0 and a MacBook to run it on. Dr. Shark was using a Roland TD-20 and upgraded to BFD but switched over to Superior Drummer as well. There are others that still use their drum modules and others that swear by BFD. It is all about personal preference and your wallet. My basic setup when I first started was my Roland TD-6V, Zendrum, and an Amp. You would need the cable to go from the drum module to the amp, and the MIDI cable going from the Zendrum to the brick, and then the brick to the drum brain. Other than that, you are rocking out. My setup has become a little more elaborate, but I can scale it down if I need to. Dr. Shark did run into a latency issue with his laptop, he just told me today he was getting a MacBook like mine (maybe one better with the new i7 processor) because I have no issue with latency. If you are using a junker laptop, it may not do well for quality when it comes to sound and latency. The faster the computer and more memory, the better the payoff when it comes to quality, but for getting used to the Zen, it should be fine.
Hope this helps.
What area of the country do you live in, there may be another zendrummer nearby that can show you some tricks first hand. We had a get together in Atlanta a few months ago and it was very educational for everyone I think.