I have just read the instructions on how to install this route but I don't see any reference to 'check' and 'refresh'. What and how are you checking and refreshing?
There are 2 options during the install process, which folder to install the route to and which folder to install OR to (if choosing to also install Open Rails). Which options and locations did you choose at these points of the installation process?
If you installed the route into another folder (not the default folder recommended at installation), you need to tell OR where you installed that folder.
Use the 'Options' button in Open Rails, go to the 'Content' tab and confirm you can see the Name and Path for the Zig Zag route. If you cant see it, use the 'Add' button to browse to the folder where you installed the Zig Zag route.