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You must be connected to the internet to install packages from web depositories. In addition, there are a few platform-specific reasons why you may have installation problems:
install.packages("Zelig", repos = "http://gking.harvard.edu", type = "source")
Installation of package VGAM had non-zero exit status in ...this means that you were not able to install VGAM properly. Make sure that you have the g77 Fortran compiler. For PowerPC Macs, download g77 from http://hpc.sourceforge.net). For Intel Macs, download the xcode Apple developer tools. After installation, try to install Zelig again.