After Booting with this Live CD, just click on the MOUNT Application icon on the top of the Desktop, then click the Mount Button that is besides the CDROM entry only, to open its folder contents, then Right Click the zerofree.sh file and Choose the "Window" -> "Terminal Here" option and then type ./zerofree.sh and press Enter Key on the Terminal and follow the instructions shown on the terminal.
As you may be aware, Booting with a Live CD, requires that you need to change the Boot Order...