If you do not get all of Zero's parts you have to fight him until he breaks through Sigma's powers. Here are a few items that could help.

Zero does not stall at all before he shoots his triple shot, so make sure you find the capsule where you get the "ultra charge". Climb a wall as soon as he starts shooting and charge your blaster. Zero should dash over to you and smash the ground, which will cause rocks to appear and hit you. Avoid this by quickly jumping off the wall and on to the floor. By now your weapon should be fully charged. Shoot one mega-blast to block Zero's first blast, then wait until the second blast is about to hit you. Then, shoot the second blast to block the one that is about to hit you. Some of the blasts surrounding the second blast should block Zero's cape swing. Finally, the rest of the blasts surrounding the second one should hit Zero. This will take one line of energy away from Zero.

Another way to damage him is to use the Speed Burner. Note: This will not block shots, so wait until he is not on the offense nor defense. The Speed Burner will not damage him if he is blocking.

To block shots easily and quickly, use the Spin Wheel. Note: This will not harm Zero -- it will only block shots.