I bought a Zen Micro as a gift when in the US for $50 and only when I got home did I realise
the inlcuded conversion software is Windows only. 

After a lot of experimenting I figured out how to convert a AVI file or rip directly from
DVD. Below is the command line for doing this. You will need to download the excellent
ffmegX application

 ffmegX Homepage

Converting a file

"/Library/Application Support/ffmpegX/mencoder" -ovc xvid -oac copy -xvidencopts bitrate=687 -vf scale=320:240 -o zen-filename.avi inputfile.avi

Converting a DVD
The below uses the first DVD drive and chooses the second chapter. On your system it will be different possibly. Also you
might not want just one chapter.

rdisk1  is the first disk
dvd://2 is chapter two

"/Library/Application Support/ffmpegX/mencoder"  -dvd-device /dev/rdisk1 dvd://2 -ovc xvid -oac mp3lame -xvidencopts bitrate=687  -vf scale=320:240 -o -zen-filename.avi