To set up Geo Zones, navigate to System -> Localisation -> Geo Zones. Click on the Add button in the top right corner. There you will be asked to fill in the name and description of the Geo Zone. For example you might have a Geo Zone named "The West Coast" and the description could be "US States on the West Coast", or whatever will help you remember. Then click "Add Geo Zone" and select the appropriate country. If you are creating a Geo Zone for a country as a whole, you are done, just click Save. If you would like to chose a particular state or region, click the next drop down box and select the state or region you would like to include. You can continue to add regions and/or countries in this way until your Geo Zone is complete. Then click Save. You can create as many Geo Zones as you would like.