I don't think you can remove or delete the TZone or Help icons but you can HIDE them.
Put your cursor on the icon you want to remove, click on the ALT button and click on the Track wheel. A menu will appear on the top right corner of the screen, select Hide Application and you the icon should dissapear.
As for the Zen theme, I don't think you can get it OTA. The easiest way to get it is to upgrade your the OS of your blackberry and replace the alx file with Jibi's. It pretty straight forward, see instructions and download links here:
http://www.blackberryforums.com/ring...-4-1-only.html