Samsung S3 i9300 rooted with Heimdall.  Am I able to unroot with ODIN? I rooted my phone with the Samsung Galaxy S III: Full Update Guide

I stumbled when I tried to flash the CyanogenMod.  I do not get the install from zip file command while in the ClockworkMod recovery mode. So I can't seem to be able to find the zip file to install the CyanogenMod.

What I am trying to do now is to unroot my S3, but seeing that I rooted it using Heimdall rather than ODIN, is it still safe to unroot using ODIN?
You don't "unroot" per se with Odin; you just flash a stock, unrooted ROM that wipes out everything currently on the phone.  It shouldn't matter whether you use Odin or Heimdall.

Note also that unrooting won't matter if you've flashed anything with Odin, since that also voids your warranty and is recorded on the device.