Setup Zap Proxy

Install Java which is a pre-requisite - https://www.oracle.com/java/technologies/downloads/#jdk19-windows
Selected Java 19 for Windows and the x64 Installer. Installed with all the defaults. This is also the Java Development Kit versus the Java Runtime.
Zap Proxy Website
Click the Download Now button
Download the Windows (64) Installer - ZAP_2_12_0_windows.exe
Continued standard installation

OWASP ZAP scanning

Open tool and select Automated Scan
Enter URL to attack (try DVWA) - http://dvwa.kimchimenow.com:8001. Select Use ajax spider. Click the Attack button.
After scanning can see the various vulnerabilities found