I had a similar problem on CentOS 6.3 and python 3.2.3
I solved it by:
Edit /Modules/Setup
and uncomment the line:
zlib zlibmodule.c -I$(prefix)/include -L$(exec_prefix)/lib -lz
change to directory /Modules/zlib:
./configure
make
sudo make install
then compiled my python3.2 source.
and was then able to test import zlib and it all worked fine 🙂