A shipping zone is a geographic area plus the methods available inside it. WooCommerce matches a customer to the first zone their address fits, so the order of your zones matters more than most people expect.
Start narrow, end broad
Put your most specific zone first. If you ship to your own country at one rate and the rest of Europe at another, the country zone goes above the Europe zone. WooCommerce stops at the first match and never looks further down the list.
The three methods
Flat rate charges a fixed amount, and it accepts formulas if you want to charge per item. Free shipping can be conditional on a minimum order or a coupon. Local pickup removes shipping cost entirely and is worth adding if you have a physical location.
The zone everyone forgets
Below your zones sits a fallback for locations that match nothing. If you leave it empty, customers outside your zones reach checkout and find no shipping option at all, which reads as a broken site rather than a policy. Either add a method there or make it explicit that you do not ship there.