The setup for the latest stable version of Zandronum can be found here. This will install Zandronum for you, as well as Doomseeker, allowing you to connect to severs that are already running, including GONE servers; however, GONE curently runs on Zan3.0 which is the developer version and can be found here. Create a folder named "Unstable" (Or anything you want really) and throw those files into it. Info about Unzipping can be found here. If there isn't already, create a PWADs and IWADs folder into where you installed Zandronum.