AFAIK all the exploits it is using and attempting to install are for windows. After trying to compromise your browser and failing, it dumps you off at some other web page.
Yep. There are several exploit kits that are shopped around to malware writers to help them spread their malware, the two most common being the Blackhole Exploit Kit and the Phoenix Exploit Kit. Both can be configured to drop any malware (not just ZeuS) and both can be configured to send the user elsewhere if the exploits all fail or if the page is loaded in a way that the malware writer doesn't want.
For example, the Phoenix Exploit Kit is often configured in such a way that if you surf to it directly it'll redirect elsewhere; it attempts the exploit if it's loaded in an iFrame. The bad guys then compromise other sites and inject iFrames into them.
Wow. I didn't know that. What do you do then? reformat and restore safe documents?
Yep. Microsoft Security Essentials can remove some of the older variants of ZeuS, but for modern variants, or for some other similar malware? Yep, reformat and restore is Microsoft's recommended course of action.
