PrestaShop's zones are a list of the world's subregions (http://en.wikipedia.org/wiki/Subregion). It helps categorize countries.
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If needed, you can create more zones: click on "Add new zone" to display the creation form.
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All you need is a name and a status, for instance indicating that you do not allow deliveries in Oceania.
When in multistore mode, you can also associate a zone with a selection of stores.