There seems to be conflicting info out there for how to accomplish this. Compounded with the Zero's different micro ports, it's easier if you can set it up as a headless device. Unfortunately, I found that if you try to do this locally, with a monitor and keyboard, the order of operations causes the ssh keys to be faulty. So, let's make it easy and just do it all from the start. Download Raspbian Jessie Lite. I believe the version I got is 03.02. In Windows I'm using Rufus to write the disk image. Select the disk image from the folder icon in the lower right. You need to search for all file types, as it's not an ISO. Once you select it, Rufus will automatically determine that it needs to be a DD write for the file. Fire it off on your micro SD card and let it finish. It will take a few minutes.
When it's done you'll have a single partition viewable in Windows for the SD card. Right click and create a Notepad file called ssh.txt in the root of that partition. Just create it. Don't edit it. Create another Notepad file and call it wpa_supplicant.conf. Open that in Notepad and add the following:
network={
ssid="Your SSID Here"
proto=RSN
key_mgmt=WPA-PSK
pairwise=CCMP TKIP
group=CCMP TKIP
psk="YourPresharedKeyHere"
}
Modify the SSID and PSK to match your WiFi settings and save it. Pop the SD card out, pop it into your Zero W and boot it up. Wait a few minutes, and then you'll need to find the dhcp address the Zero W received. For me, I checked the dhcp scope on my firewall and found a new dhcp lease for a device named "raspberrypi". Open up Putty and ssh to that IP. You should be connected at that point. Probably a good idea to run raspi-config and update the password and host name.