For *NIX/Mac OS this can be done in two simple steps

wget http://media.mongodb.org/zips.json
mongoimport -v --file=zips.json
For Windows users: Please follow the following steps to import from the json file if you are using windows 7:

Download the above mentioned JSON file and place it inside a folder (say d:\sample)
Open a command prompt, start the mongo server by going in to the bin directory and typing in mongoD
Now take another command prompt and go to the bin directory again and write the following command

C:\mongodb\bin>mongoimport --db test --collection zips --file d:\sample\zips.json

The import should start working immediately and at the end it should show something like this : Thu Dec 19 17:11:22 imported 29470 objects