Does it appear in Windows as a Joystick device?
Turn radio on, select any model for this test. Plug in USB. Select "USB Joystick" when prompted.
From the start button for Win, in the search box type joy.cpl to bring up the Windows joystick interface.
Is it listed there?
If not, either your cord is bad, or you may need to download drivers for it. If you do an install of OpenTX or Edge Companion (whatever type/version that matches what is on your radio), that will install all the drivers needed along with the Companion program. There are other ways, without installing Companion, but they get a bit more techie to describe, as what to click on/look for depends on your specific version of Windows.
If it IS listed as a joystick - then the summary by flightengr is the place to start.
Sometimes the order of several joysticks listed is important. Respond back if you have other things also listed, and the Zorro is still giving you issues. But if it seems to be working, then carry on...
At the most basic for these radios, your model setup must have a "source" (stick, knob, switch, slider) assigned to each channel desired in the Mixer section. You can use, but it is not required, to have similar "sources" listed under "Inputs". Do at least 8 channels for Real Flight. One "gotcha" - channels 6 and 7 must be controlled by something with a center (stick, slider, knob, 3 positions switch). Using only a 2 position switch for those two produces really strange/defective results.