In the z readme after line 48, it says:

Installation:

Put something like this in your $HOME/.bashrc or $HOME/.zshrc:

. /path/to/z.sh

cd around for a while to build up the db.

You need to download the z.sh file to a directory of your choosing, then tell your .bashrc where it is, so your terminal can find it. (The same applies for z-shell, which is just another shell system.) Then, after you use bash for a while, z will know your favorite locations.