Hmm. that's not doing it. I'm probably doing something wrong in zshrc.
Here's my zshrc:

==================

# customize zsh behaviour
#
autoload -U colors
autoload -U compinit
colors
stty susp ^Z
stty erase ^H
#
setopt ALLEXPORT
setopt ALWAYSLASTPROMPT
setopt ALWAYSTOEND
setopt APPENDHISTORY
setopt AUTOCD
setopt AUTOLIST
setopt AUTOMENU
setopt AUTOMENU
setopt AUTOPARAMKEYS
setopt AUTOPUSHD
setopt AUTOREMOVESLASH
setopt COMPLETEINWORD
setopt CORRECTALL
setopt EXTENDEDGLOB
setopt HISTIGNOREDUPS
setopt HISTNOSTORE
setopt HISTIGNORESPACE
setopt IGNOREEOF
setopt LISTAMBIGUOUS
setopt LISTTYPES
setopt MARKDIRS
setopt MONITOR
setopt NOBEEP
setopt NOCLOBBER
setopt NOHUP
setopt NOLISTBEEP
setopt NUMERICGLOBSORT
setopt PUSHDMINUS
setopt PUSHDSILENT
setopt PUSHDTOHOME
setopt PUSHD_IGNORE_DUPS
#
export EDITOR='vi -u NONE'
export FCEDIT='vi -u NONE'
export PROMPT='%h> '
export PROMPT2='%_> '
export RPROMPT='%B%2C%b'
export CYGWIN=nontsec
export DIRSTACKSIZE=10
export PATH="$PATH":"/cygdrive/c/PROGRA~1/Vim/vim64"
export PRINTER='HP LaserJet 5/5M PostScript'
export HISTSIZE=1000
export HISTFILE=/home/Jose/.zsh_history
export SAVEHIST=1000
export SHELL=zsh
#
#
# customize completion
#
compctl -g '*.gz' + gunzip
compctl -g '*.tar' + tar
compctl -j -P "%" + kill fg disown
compctl -g '*(-/)' cd
compctl -g '*(^/)' + less
compctl -g '*(^/)' + gvim
compctl -g '*(^/)' + v
compctl -g '*zip' + unzip zip zipinfo zipgrep zipcloak zipnote zipsplit
compctl -o setopt unsetopt
# bind some keystrokes. Makes it emacs compatible
#
bindkey -v
bindkey '\CX' execute-named-cmd
bindkey '\CO' push-line-or-edit
bindkey '\CS' history-incremental-search-forward
#
bindkey '
' beginning-of-line
bindkey '' beginning-of-line-hist
bindkey '' end-of-line-hist
bindkey '' copy-prev-word
bindkey '' kill-line
bindkey '' insert-last-word
bindkey '' history-incremental-search-backward
bindkey 'OA' up-line-or-search
bindkey 'OB' down-line-or-search
bindkey '' up-line-or-search
bindkey '' down-line-or-search
zmodload zsh/stat
zmodload zsh/complist

=================

On 3/3/06, Peter Stephenson <p.w.stephenson@ntlworld.com> wrote:
>
> "sam reckoner" wrote:
> > My understanding from reading the user's guide is that there is a way to
> > cursor-navigate the listed completions. However, I can't figure out how
> to
> > get this to work.
>
> If you're using the new completion system (with compinit) you can set:
>
>   zstyle ':completion:*' menu select
>
> The instructions are buried in the entry for the menu style in the
> zshcompsys manual page.
>
> --
> Peter Stephenson <p.w.stephenson@ntlworld.com>
> Web page still at http://www.pwstephenson.fsnet.co.uk/
>