It's not too tough to get started -- First make sure you have a copy of your main game WAD (doom.wad or doom2.wad, for example) in a place where ZDoom can find it. This is usually the same directory you have ZDoom installed in, but if you happened to get Doom off Steam, ZDoom will automatically find it in that case.
Once you've got ZDoom running on its own (assuming you haven't already), loading a wad is as easy as dragging the wad and dropping it on zdoom.exe. If you're looking for a quick start, that's the way to go.
Another great option is
ZDL, which allows you to load custom WADs in a list and launch 'em all at once. Give it a try.
Finally, if you're old-school like me, you can always use the command line and add the -file parameter plus the filename of the wad to load. For example,
will load a file called "pwad.wad" -- substitute the name of whatever it is you want to use, and you're set.
Choose the method that works best for you. Now travel henceforth and do noble things!