Zeny is the currency in Ragnarok Online. When things are denoted in "Z," that usually means Zeny, as in "Selling Item X, 100,000 Z!"
The most common way of making zeny is via selling items, most commonly ones dropped by monsters or made by the player, and less commonly items gained via Quests,Battlegrounds and Minigames. You can sell items to NPC vendors, but that's only a good idea for some of the more common monster drops. For non-monster drops, most rare monster drops, and even a few common monster drops, you make the most money via selling to other players.
Most players who want to make a lot of zeny from selling items create a merchant character for Overcharge and Discount. Using the Vending skill a creates a shop where items are offered for a price determined by the player. The big advantage of selling items this way is that once the shop is set up the process is entirely automated, so you can make zeny while doing other things on your computer, or even while away from your computer. Additionally, if you put your merchant character on a second account and log into that account, you can keep a shop open and play with your primary character at the same time.