Install Zoho CRM SDK (or any SDK for that matter)
Assuming you've got Composer installed from the command line, you can navigate to your project's root (where your project's composer.json file lives), then run this from the command line:

composer require zohocrm/php-sdk


From there, Composer and Craft pretty much take care of everything, including setting up the autoloading and you can reference ZCRMRestClient::initialize(); from your module/service.