The zoom setting on your flash sets how disperse or narrow the light coming out of the flash head is. The head actually moves up and down within the flash unit as you change the amount of zoom. When you use wide angles, the head is near the top of the flash so that the light is free to come out in every direction. Conversely, when you set the zoom toward a large number, it recesses within the flash unit so that the light is channeled out in more of a straight line. With the flash on, go ahead and change the zoom setting while watching the head. You will see it move up and down.
The idea, of course, is that you can channel the light a little bit more when you are shooting something/someone far away (in which case you would set it at a higher number) or you can make the light more disperse to cover a wider area (lower number). When you have your flash in TTL mode, which is essentially an automatic mode for your flash, the zoom will automatically change depending on the focal length of your lens. If you are using a zoom lens, as you zoom in and out with your lens the zoom on your flash will change to match it.
If you use manual mode for your flash, you will need to change the zoom level yourself. You can definitely do that if you want – after all, that’s what it is there for – but you are creating another exposure variable for yourself. In my opinion, adding flash and dialing in the power (in addition to the other exposure settings) makes things complicated enough, so I prefer a simpler approach. I just set the zoom on the flash to 35 mm and leave it there. That is generally wide enough for any scene you might be shooting, and it gives me enough power. In this manner, I isolate that variable and never worry about it. To change the flash settings, I just work with the power level. By the way, I confess I stole this idea from a portrait photographer, who advised that he had been using the method for years, and I figured if it was good enough for him – when he uses flash all day, every day – then it is certainly good enough for me.