Ahhh, there should be a tutorial on this I can direct people too, I never seem to remember where there is one, and I end up typing it out at least twice a week.
Anyway
Open up 'Notepad'.
On the first line, write:
CODE
import "std.zh"
Then, leave a line and copy in the script.
Go to 'Save As', and then type in '####.z', and in the box where it says 'filetype', change it from '.txt', to 'All Files', then press 'OK'.
Go to ZQuest; Tools->Scripts->Compile ZScript.
Click 'Load', and find the file you just made.
Press 'Compile', and then click on the 'Item' tab.
The name of the script should appear on the right hand side.
Select it and press the '<<' button to copy it over into a slot.
Then, to apply it to an item:
Open the item in the Item Editor.
Go to the 'Pickup' tab.
In the box where it says 'Script', type the number of the slot that you applied the script to.
In the 'Arguments' tab, put for 'D0', the number of the string you want to play.