I gave the version in the repos a go first, and it came back with version 4.2.6.
$ sudo yum install zsh
$ zsh --version
zsh 4.2.6 (x86_64-redhat-linux-gnu)
Unfortunately, that's too old for me to use zsh-syntax-highlighting so it was time to compile from source again.
First, get and extract the files:
$ wget http://sourceforge.net/projects/zsh/files/zsh/5.0.2/zsh-5.0.2.tar.bz2/download && tar xvjf zsh-5.0.2.tar.bz2 && cd zsh-5.0.2
Configure, make and install:
$ ./configure && make && sudo make install
Check that it's installed fine. It installs to
$ /usr/local/bin/zsh --version
zsh 5.0.2 (x86_64-unknown-linux-gnu)
If you want to use it as your login shell, you'll need to add it to
$ echo "/usr/local/bin/zsh" | sudo tee -a /etc/shells
$ chsh -s /usr/local/bin/zsh
Log out and back in again, and you should be running zsh version 5.0.2.