I don't believe zlib comes preinstalled with any version of Windows.
You can easily download zlib1.dll from the official website and drop it into the same folder as the program that needs it, and everything should work fine.
The current version is 1.2.8:
http://zlib.net/zlib128-dll.zip
Or you can always check the home page for the latest version:
http://zlib.net/