Can you sync with the local Outlook profile? Once I had that setup I was able to install the Zimbra connector and switch Outlook profiles in BDM. I left the local Outlook profile and set the default MS Outlook profile to Zimbra via the Mail control panel in XP.
That allows my user to sync his calendar and address book. If you try to select setup BDM sync after already installing the Zimbra Connector BDM will hang looking for the profile directory.