AH HAH!!!
I've found the way to make zip codes boundaries as territories (assuming that is what you want).

Start the Create Teritories Wizard,
select Create Manually,
Next,
select US, Zip Code,
Next,
read the explanation of Individually,
Finish.

You then create each territory (I named each one a zip code number I wanted to map). Then select each territory and for each one, select the zip code number (as in the Individual description). And click Add to Territory. The Zip Code boundary is now your territory.

Apollyon