On the DotKernel.com site today there's a post walking you through the installation of the GeoIP extension on Zend Server (5.6) on Windows. It starts with a bit of test code to check and see if you might already have it installed.
The steps are relatively easy:
Download the extension package
Copy it to the right location
Use the Zend Server interface to turn on the extension
Download and copy some geoIP databases from Maxmind
Most of these steps go for any extension you want to install, but keep in mind since it's Windows you'll need the .dll file, not the source to compile. Some extensions may not have this available for download.
Link: http://www.dotkernel.com/dotkernel/installing-geoip-extension-in-zend-server-5-6-on-windows/