BOO-YAH! I'm booted!
Ok, so the procedure:
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Plug your Zorin OS USB stick in.
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Enter UEFI setup.
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Disable TPM and clear its keys. It's just added complexity that the average user doesn't need.
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Enable SecureBoot. Clear any keys. This allows you to set up your own key (which we'll do later) so third-party drivers can be installed if needed.
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Change your boot order around so your Zorin USB stick is the first in line.
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Save the UEFI settings and boot the Zorin USB stick.
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If any prompts pop up to 'Enroll MOK', just ignore them and continue with the boot.
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When Zorin OS loads from the USB stick, DO NOT CLICK 'INSTALL ZORIN OS'! Click on 'Try Zorin OS'.
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Start up the Disks application, go to the drive you intend to install Zorin OS on, and unmount all the partitions, then delete the partitions. You should be left with a single drive that says "Free Space". Do not format the drive, do not name the drive. You might have to reboot the Zorin OS USB stick if you get an error message that the drive is busy. If you get that message, reboot immediately, then continue deleting partitions on the target drive until they're all gone.
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Reboot the Zorin OS USB stick.
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Click on the '3 vertical dots' menu item in Disks (at the top-right) and click Drive Settings... set the Standby time, APM settings and enable Write Cache.
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Now you're ready to install Zorin OS. You'll be prompted to enter a password for Secure Boot... write that password down. It cannot be a weak password. You'll be prompted to enter a root password... write that password down. That one can be a weak password.
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After Zorin OS is installed, reboot... it'll prompt you to remove the Zorin OS USB stick and press Enter. Immediately enter the BIOS setup and change your boot order so the drive where you installed Zorin OS (it might say something like 'Ubuntu', rather than Zorin OS) is at the top of the list. DO NOT TOUCH ANY OTHER SETTINGS. Save your settings and reboot.
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If it prompts you to 'Enroll MOK', ignore it and continue the boot... we'll deal with MOK from within Zorin OS (I'll post more about that later).
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Et voila, you are ze booted!
What was happening in my case was I was trying to install over the Windows installation, so the UEFI BIOS saw the Windows boot, and kept it in the UEFI menu... and it wouldn't let me select Zorin OS (Ubuntu). I could see it in the menu, I could move the focus to it, but pressing 'Enter' (which should have selected it) did nothing. Of course, the Windows boot was no longer there, so the stupid UEFI BIOS thought there was a problem.
Wiping the drive before installation got rid of the Windows installation, and allowed the UEFI BIOS to clear the Windows boot, so Zorin OS (Ubuntu) was the default.
Of course, if you're going to wipe your main drive where you've got Windows installed, I highly recommend you boot the Zorin OS USB stick, go into the Disks application, click the '3 vertical dots' menu at top-right, click 'Create Disk Image', and save the drive image of the Windows installation to another drive.
That way, if anything goes wrong and you just can't get Zorin OS on your computer, you can always boot the Zorin OS USB stick, go into the Disks application, click the '3 vertical dots' menu at top-right, select 'Restore Disk Image', select the Windows image saved on another drive, set it up to restore to your target drive, and you're back up and running (with a bit of UEFI BIOS fiddling, most likely just resetting all settings to factory default).