If you are running ubuntu then it is usually recomended that you use the package from the package manager. You can get python 3 - currently 3.3.1 with either sudo apt-get install python3
if I recall correctly or by using the software centre.
I am reasonably sure that the default distribution includes zlib.
Python 3.3.1 (default, Apr 17 2013, 22:30:32)
[GCC 4.7.3] on linux
Type "help", "copyright", "credits" or "license" for more information.
>>> import zlib
>>> exit()