The ZODB forms part of Zope, but it's difficult and somewhat painful to extract the bits from Zope needed to support just the ZODB. Therefore I've assembled a distribution containing only the packages required to use the ZODB and ZEO, so you can install it and start programming right away.
To download the distribution, go to my ZODB page at http://www.amk.ca/zodb/. The distribution is still experimental, so don't be surprised if the installation process runs into problems. Please inform me of any difficulties you encounter.