There's a dropdown box in the upper left-hand corner of the Zap2it guide window which defaults to "All Channels". Click on it then select "Create New Favorites" from the list.
A window will popup "Create Favorites Lilst, Enter List Name (ok) (cancel)" Enter the name, click (ok)
Then another window will take its place with a palette of channels, clicking on a channel with toggle a checkmark in the middle. Check mark all the channels you want in your favorites and click on "Save" at the bottom.