Compiling stuff and debugging your build process is not that hard, once you get used to it and it is a really useful skill and it's really essential to using crossbridge. I'd say you should try to give it more time figuring this stuff out.
As for zlib. You probably don't need a SWC. You should minimize your input/output between AS3 and C++. Often, you only need one crossbridge SWC that contains all your compiled C++.
You only need to link to zlib in your SWC. You don't need an extra SWC for it. Normally you would have to compile zlib to as3 bytecode, but you are in luck! A version of zlib is already compiled in the SDK.
So the only thing you need, is to find the last GCC call, the one with the "-o MY_SWC_NAME_HERE" option and add this option:
Normally you would have to tell the compiler where to find the library, but since it's already in a path that the compiler will search, that is all you need.
You can then use it from the C/C++ code in your SWC. If you want to use it directly from AS3. I would create C/C++ functions that wrap around it. To marshall the as3 data into whatever zlib want.