It's a currency bought for real-life money, for Zen you will be able to buy most luxurious items available in game. In Zen Market panel (opened from quick menu icon) you can check what epic items can be bought for Zen.
You'll pay with Zen for best quality mounts, companions, bags, items with unique skins or services like name change, additional bank slots etc.
You can exchange Zen for diamonds with other players in Astral Diamond Exchange panel accessible from quick menu. You can exchange your currencies with one of offered exchange rates or create your own offer.
Zen is available for purchase from Perfect World website (http://nw.perfectworld.com), after logging in choose "Charge ZEN", choose payment method and fill up billing information.
Next stage is choosing how much Zen you would like to buy, after which you can checkout and finalize transaction.
After paying for Zen go to "Transfer ZEN" page and choose to what game you want to transfer Zen.