Zones
Zones can be used to play back different audio and video to multiple areas. Some x to 1 sound cards can be used to split audio into x/2 different zones. For example, a 5.1 sound card that allows its channels to be exposed as separate outputs has 6 channels (starting at zero), so you can get 3 stereo zones from it. Channels 0&1, 2&3, etc.
Add a Zone
Under the Player menu, choose "Zones", then "Add Zone"
Configure a Zone
Your new zone will appear under Playing Now. Click on it and use the standard options to select a sound device. (Each zone has its own device.)
A DLNA Renderer can also be a zone.
Play to a Zone
Select content and drag it to the zone. Or just click on the zone, then play.
Switching Zones
Ctrl-T will "toggle" zones. Or you can click on the zone you want to control under Playing Now.
More
Right click on the zone under Playing Now for more options.
Listener explains this well in this post on Interact.
Another good thread on zones here.
See also: ZoneLink