A zone transfer asks a nameserver for all the information it knows about a domain. This is only really useful if the nameserver is authorative for that domain (to find a nameserver authorative for a domain run dig on that domain and look for NS entries)
A zone transfer puts a lot of load on a nameserver, and is considered impolite, so some nameservers won't allow zone transfers
Before you run a zone transfer you'll need to select Edit → Options... → Advanced and select Enable zone transfers
Then select Tools → Zone Transfer... Enter the domain you're interested in and the nameserver you want to interrogate
This returns a lot of data, so you may want to save the results to a file rather than displaying them