First, you're going to need to root with a full root method. z4root only gives you soft root. By that, I mean you have root level permissions in your current ROM, but you don't have S-OFF, which you need to write to /system. You should start by doing a full root method. I'm not sure how old your phone is, or what current hboot/sw version you're on, but unrevoked will work for all versions. Follow the Rooting for Dummies guide in the root section for how to get full root using unrevoked. Once you do that, you can consider flashing different ROMs. If you need more information, let me know. You definitely, need to start there, though.