There are tons of examples online, so it really depends on what kind of water effect you're after.
But just to show that it's perfectly possible in ZGE ( without any DLL's ), a quick & ugly example ( low framerate & colors to not kill your bandwidth ).
I simply created that scene, made the GIF .. and closed ZGameEditor again without saving. I can re-create it for you if you want ( are you sure? it's quite ugly ), but if you'd point out a water effect / shader from a game that you like, someone might help you out with that