I think I understand what is happening and how to solve it.
It may be that your Zen is appearing in Windows as an MTP (Media Transfer Protocol) device instead of MSC (Mass Storage). MSC device is what makes USB drives appear as a drive in Windows, and you can use the same in most MP3 Players.
Some MP3 Players offer an option in their configuration if they should appear as an MTP device or an MSC device. Others don't.
If you have Windows Media Player 10 or newer installed, then your player will probably show up as an MTP device, and not an MSC device. Therefore, no drive letter for it.
But that can be changed quite easily. You must enter Windows' Device Manager (Control Panel / System), select your MP3 Player, chose to update the driver, and choose the new driver manually. MSC will likely show up in the "Compatible Drivers" list. Select MSC driver for it, and there you are: your MP3 Player now shows up as a drive.
I use that when I need to for my Sansa Express, although most times I leave it as MTP and use it in Winamp.
Anyway, full details here: AnythingButIpod.com
. Jump straight to post #3 for the easy solution I mentioned above.
I recommend you search that site for things specifically for the Zen, and also read the handbook.
You probably don't need special software to achieve what you want.