Shipping zones define which countries you ship to and let you charge a different shipping price for each zone. Go to:
Control panel / sidebar / Client galleries / Settings / Sell.
and open the Shipping zones tab.
Drag each country or territory to the zone you want: Zone 1 to 4, Other issues or Not shipping.
To move several at once, hold down Ctrl/Cmd, click them and drag them together.
If you only ship to one country, choose it in Only ship to and click Set: all the others go to Not shipping.
With Zone test you can check which zone a country and postal code fall into.
Shipping price for each zone
The shipping price is set for each product: go to Client galleries / Products / Products, open the product and fill in the Shipping tab with the price for each zone.
Remember to click Save.