Well, CF 4.0 seems to have some issues with multizone. I was able to set up a second zone, but it wasn't fully independent and there were some control issues as well. One person told me he got it working, but I've not been able to duplicate his success. HiJack has a lot of experience trying to get the CF multizone config working, so maybe you can check out his worklog and some of his other posts, both here and at CF.
Also, you might find more information about multizone on the CF forums.