The usual solution when you hav emultiple extensions is to zip them up. There is a shareware app called Batch Zip Toolkit that will zip an entire directory of individual files.
Look in the docs VERY carefully. It's in there near the bottom. You can create a file called z26.cli and place it in the z26 folder. It can hold config settings.
I'd also make sure your using the hacked version of Z26 from my website. It's on the downloads/applications page at
http://home.comcast.net/~cpviewer . There is also a cli file on my Atari 2600 page available for download.
The hacked version exits with the ESC key and allows for input configuration via an ini file.
Good Luck,
John