In order to get Bahamut ZERO, you will first need the Bahamut and Neo-Bahamut summons which, although easy to find, are missable. You can obtain Bahamut in the Temple of the Ancients after beating the Red Dragon, but if you leave without picking it up, it will be gone forever. Neo-Bahamut can be found in the Whirlwind Maze after climbing Gaea's Cliff and, whilst easy to spot, is again missable.
You will then need to obtain all pieces of Huge Materia. You will need to stop the train heading North Coral, defeat the boss at Fort Condor, destroy the enemy sub, and get the correct combination on the rocket during the Huge Materia sidequest. The combination for the rocket materia is [OK][SWITCH][CANCEL][CANCEL].
After this, once in Bugenhagen's observatory in Cosmo Canyon, approach the blue Huge Materia and get close when prompted. You will then receive Bahamut ZERO.