"by cable" means connect to the zyxel with either the USB or cat5 network cable. both types should have come with the router.
So connect via cable, open the admin page by putting the the following IP address into a browser address (should be 192.168.1.1)
When you get on to the router admin one of the first pages you come to is the page which lets you set the mode for the router. One of the drop down boxes there lets you set it as bridging. Once you do this you wont be able to get on the web with the zyxel without setting the settings back.
Then put the usb or network cable thats in your laptop into the linksys input port. Run a cable from one of the out ports and connect to the admin page of the linksys, again, should be 192.168.1.1.
Now you need to set the relevant settings to PPPOE and your BT username and password. Once you do that go to the status page on the linksys, hit refresh and see does the linksys get an IP. If it does, youre in business and should be able to get on the web.
edit: sorry, dunno why, but I didnt see tigers link above, it links to the following for setting zyxels to