When you've installed Zotero and made sure the 'connector' to Word is installed too, you'll see a Zotero tab in your toolbar in Word.
This will give you buttons for inserting references and citations, creating your biblography (literature list), change your setting etc.
When you insert your very first reference in a document, you will be asked to choose a citation style (for example Harvard, APA, etc), as well a selecting language of your text and other settings. You can always change later by clicking 'document preferences' in the toolbar in Word.
By using the tools here to insert all your references, you'll make sure to always use the same reference style throughout your document, and you'll make sure that your literature list/bibliography includes all your references.
The button 'unlink citations' will un-link your inserted references from Zotero, and change them into text format only. Change done in the program Zotero will no longer be updated in your document, and you can't be sure that your bibliography is complete. We only recommend using this function when your paper is all done, after you've saved a backup, and right before publishing.