A zoom effect is created when a camera moves forward or backward to encompass more or less of a scene. While Flash doesn't technically have a camera, you can simulate the effect using animation.
You can actually do this one of two ways: using shape tweens, or using motion tweens. Shape tweens only work when you have simple vector art drawn in Flash, so for the sake of consistency we'll do this using a motion tween. That means if you've decided to create a zoom effect on Flash artwork, you'll need to turn it into a symbol. The same with any images you've chosen to import.
I've started with a basic rectangle with a bitmap fill, and used the Free Transform Tool to make it smaller than my stage. For the demonstration I'm going to zoom in until it fills the entire stage.