What is it?
A randomly created file related to the w32.bugbear.m worm
the file is located in the system folder and is (usually 5632 bytes)
What does it do?
the zzzzzzzz.DLL file has been reported to be a Keylogger program! This
means when it is active it is creating a log file of all the keys that
you press while you are using the computer that is infected.
w32.bugbear.m spreads by sending emails containing
attachments and by locating shared resources on your network to which
it can copy itself.
More info and Removal instructions @symantec