the IDE controller will only manage two devices so No you cannot connect three, Yo will have to invest in a plugin (ISA,PCI) controller card to add extra IDE channels or ditch the ZIp and replace your cdrom with a cdrw.
It's very unusual for a motherboard to have only one IDE connection. As horiz5 says you're only way out is to invest in a PCI/IDE controller card. This plugs into spare PCI slot and provides another one or two IDE connections. I used one of these at one time but it caused problems. You'd be better off upgrading your motherboard to one with two IDE connections.