Well, I would recommned learning the ZZT programming language first, as this is what Megazeux is based on. Actually, i'd just reccomend using ZZT, I don't really care for Megazeux much.
The 'official' site for ZZT nowadays is
here, but the site doesn't really support Megazeux. There was a active website/community for Megazeux called Zeuxworld, but that just recently closed down. It seems most of the people from Zo' World moved to digitalmzx.net, so your best bet is to look there.