Your custom WADs aren't going to show up in the list of IWADs. Instead, you need to load these by specifying them to ZDoom. You can do this in a few different ways:
The Quick-and-Dirty Way (assuming you're only loading one custom WAD at a time): Double-click your WAD file. The first time you do this, Windows will ask you to associate a program with it. Click Browse..., locate your ZDoom.exe file, hit OK, make sure "Always use this program to open files of this type" is checked and hit OK again. Pick the appropriate IWAD and off you go. (Note: If something has already been associated with WAD files (e.g. XWE), right-click the file and click Open With... to get to the window where you select which program to use)
The Permanent Way (assuming you're going to load one or more custom WADs very often): Create a shortcut by right-clicking, selecting New, and selecting Shortcut. In the target box, click Browse and find your ZDoom.exe file. After hitting OK on that dialog, change the target text so it looks something like this:
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C:\Games\Doom\zdoom.exe -iwad DOOM2.WAD -file MYFILE1 MYFILE2
Note: The path to zdoom will be different depending on where you put it. Also, substitute the appropriate IWAD for DOOM2.WAD above, or leave it out entirely if you want to choose every time. You can specify as many files as you want after -file and they will all be loaded at once. Files appearing last on the line will override files appearing earlier (so if both contain a MAP01, only the later file's MAP01 will be used). You can also add other commands to the line if you want to do specific things when this shortcut is used, such as warp to a specific map or being a netgame. See [wiki=Command_line_parameters]here[/wiki] for a full list of parameters you can specify.
After doing all that, click Next, name your shortcut something nifty, and click Finish to create the shortcut.
The Technical Way: Open a DOS prompt by selecting it from the Start menu or going to Start->Run and typing cmd into the box. You should see a black window will a flashing cursor waiting for typed instructions. Use this to navigate to your ZDoom folder (i.e. "cd \games\zdoom") and then run ZDoom however you like by typing the command in manually.
Example:
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zdoom -iwad DOOM2.WAD -file MYFILE1 MYFILE2 MYDEH.DEH -skill 4 -warp 01 -record MYDEMO
If seeing a DOS prompt makes your head explode, you should probably stick to the other methods above. Or you can go
here for more help.