I cannot manage to setup this Zope stuff. I have the full source code for Zope-3.4.0, nothing goes as the readme says. I also have a ZIP file that is an egg. What are Eggs?
You don't need the complete Zope package to install Twisted. What you need is only Zope.Interface, which is an independent component of Zope. You should be able to install Twisted using the binaries (Zope.Interface, included) found here.
To answer your last question:
Python eggs are explained in: "Python eggs - a Simple Introduction".
It also mentions Zope.
Easy Install that is used to install eggs is part of
Windows installation instructions for setuptools (links to a Windows installer is at the end of that page).
Once installation is complete, you will find an easy_install.exe program in your Python Scripts subdirectory. Be sure to add this directory to your PATH environment variable, if you haven't already done so.