Hi
Well basically, to make a power supply having a zener diode as a regulator, you first have to step it down or step it up. Afterwards connect it to a bridge, a full wave or half wave, may do, then a filter. The filter usually composes of a resistor in parallel with the capacitor. Afterwards that is where you can your zener diode to function as a regulator.
I found this schematic in the web. it might help you visualize things.
http://www.physics.mcmaster.ca/phys3ba3/files/circuits/Lab2-4.jpgKevin
