$ sudo yum install ncurses-devel
$ cd /usr/local/src
$ sudo curl -L http://sourceforge.net/projects/zsh/files/zsh/5.0.7/zsh-5.0.7.tar.gz/download -o zsh-5.0.7.tar.gz
$ sudo tar xvzf zsh-5.0.7.tar.gz
$ cd zsh-5.0.7
$ sudo ./configure && sudo make && sudo make install
# add zsh to login shells
$ sudo -e /etc/shells
# add '/usr/local/bin/zsh' to last line
# /usr/local/bin/zsh
# change some user's login shell
$ sudo chsh rkaneko
New shell [/bin/bash]: /usr/local/bin/zsh
# for my tmux login shell config
$ sudo ln -s /usr/local/bin/zsh /bin/zsh
You need to install gcc/other C compiler too
sudo yum -y install gcc