I'm making a map but was wondering how to make a cave, thanks!

You can`t really MAKE a cave. If you want a cave then you`ll have to use one of the caves from Hoth. The terrain building in Zero Editor is quite limited, so you can`t do any really crazy complicated things with it.

EDIT: If the Hoth caves don`t fit in with your map (Snow cave in say a forest map), then you can simply retexture them to fit the environment.

Skinny is right about this. In addition to his reply it is also important that cave models have terrain cutters in order to add holes.