For the sake of your system I hope you are not blindly following those instructions without knowing why you're typing what you're typing. Terrible bad things can and will happen to you if this is the case.
These instructions are nearly three years old: That is positively ANCIENT. zlib is on version 1.2.5 (mostly bug fixes). OpenSSH is now on version 5.5 and OpenSSL 1.0.0 has been released (both contain HUGE security fixes over the versions referenced in that howto).
You are probably better off using your vendor's packages rather than manually building this software: you may be a little behind, but you will have less manual tracking to do & there is less risk of accidentally following old instructions that leave you with dangerous security holes.
I would only suggest manually tracking OpenSSH/OpenSSL and their dependencies if you have a real need (an ancient system that doesn't ship with SSH and can't be replaced), and even then only if you're really willing to commit the time to track the manually installed software and patch to deal with security holes that come up in a timely fashion.
To directly answer your question though:
The reason you are probably having the specific problem you mention: The zlib 1.2.3 zipfile no longer exists at the URL referenced. zlib 1.2.5 unpacks into a subdirectory rather than spewing files into the current working directory, and requires you to use autoconf (
./configure) before you can