Artboards are a feature Adobe released a couple years ago, mostly focused on UI designers, letting them iterate fast and stay organized. Each artboard in your Photoshop file is separately exportable and represents a screen in Zeplin.
Check out Adobe's article to learn more about them: https://helpx.adobe.com/photoshop/using/artboards.html
If you haven’t worked with artboards yet, it’s quite easy to convert groups or arbitrary layers into artboards, by simply right-clicking on the Layers panel and selecting “Artboard from Group…” or “Artboard from Layers…”.
Then when you select any layer inside an artboard (using the selection tool, “V”) the Zeplin panel will display a shiny big button to start the export process.
Here's how a Photoshop file with artboards looks like: