Here's a quick primer on dumping sysex, hope it helps.
I'm using MIDI-OX 126.96.36.1995 (at the time of this writing there is a newer beta, make sure you have the stable version).
1) Open MIDI-OX and go to View --> Sysex...
2) In the BOTTOM area, right-click and select "Manual dump". You can also get there from the Sysex menu at top.
3) MIDI-OX will now go into wait mode. From your Zendrum, initiate the Ed (exclusive dump).
4) Once done (the Zen will stop flashing and MIDI-OX will show no activity) again right-click at the bottom and select "Save As".
The resulting file should be just over 8KB.
If you continue to have trouble, then the next thing to do is to check your MIDI interface and cable, along with making sure you have the latest drivers. I had a problem similar to what you're describing (although with a DM Pro, not a Zen) and the problem turned out to be bad M-Audio drivers.