Devices on the same IDE channel do not run at the same time. Even if you copy from one drive to the other, it will alternate between the two. However, it is better not to mix an UDMA device with non-UDMA device. Internal Zip is not UDMA.
With two HD on modern Mobo (from the last year or so), it does not matter. When the computer read or writes to ATA33 it does ATA33, when it switches to the ATA66 it does ATA66.
If you have, only two channels put the two HD on one channel and the CD-ROM with the Zip drive on the second channel.