ZSH is basically a shell for Linux/Unix-like operating systems. ZSH provides many advanced features and powerful command line editing options, such as enhanced Tab completion, support for plugin, themes and aliases and much more.
Setting up ZSH on your system is not difficult at all, all you have to do is follow the guide here. Things can get complicated if you have multiple accounts on your system and ZSH installed in all of them. This is where you start getting the Insecure completion-dependent directories error.