Zeos cannot properly deal with multiple resultsets. I used to use Zeos for all my projects, but once my coworkers started using multiple resultsets, I was forced to look for another solution. Maybe it's not intrinsic to Zeos, but at least with the MySQL driver there doesn't seem to be a way to get it done.
If you use DBX, you'll be able to do it. It comes with Delphi, so that's a plus. Downside of that: it requires extra .dlls in your project.
Another solution would be to call a stored procedure that writes its results to a temporary table, and retrieve the results via a normal query. That's how I used to work around it.