Hi,
Zreports means custom reports. These can be created in transaction code SE38. In SAP you can develop own report starts with Z or Y .In SAP if standard report does not meet your requirement,the you can go to developer(abaper) to develop Z or Y report with function specification prepared by Functional consultant.
In SAP,any report starts with Z or Y is a example of sample z or y report.
With Regards,
Jheer