Btw, if you already have Windows (or another OS) on your machine, you don't need any media. Just click the "USB Drive" dropdown and there should be an option to just preserve the image on your existing OS and it will reboot and in the boot menu you can choose Unetbootin and it will run Zorin installation. At least that's what I did with my dual-boot desktop, didn't use any USB or DVD.
PS - If by "hung up..." you mean the USB is not being created, then try my above suggestion if you already have an OS on the machine.