You'd have to do two things:
1. Make Standard Shield scan the ZIP files; if you already have "all created/modified files" set to be scanned, that should be OK. Alternatively, you could put the "ZIP" into the list of extensions to be scanned "on open", but that would probably have even worse impact.
2. Make Standard Shield unpack the ZIP files. To do that, open the Enhanced User Interface, go to Tasks folder, select the Resident protection task, go to its properties, scroll to the Standard Shield provider and on its "Packers" page, check the ZIP format.
However, you should be aware of the fact that it may impose quite a significant load on the system. If somebody writes a big archive on the disk (and it could be anywhere, not just on the share - and it doesn't have to be pure ZIP, but also e.g. a big self-extracting ZIP installer), Standard Shield starts to unpack and scan the file - which may be a lot of data, i.e. take quite a while (at high CPU usage).