Episode Zero takes place before the series (hence the name) except for one section which happens after Endless Waltz. The story is divided between the pilots.
Each section tells of a significant part of each pilot + Relena's past. Duo's past is how he got the name Maxwell. Heero's is how is was trained since he was a baby.
Quatre's past is how he befriended the Maganacs. Wufei's story is how he got so hung up on 'justice'. Relena's story is how she once met a boy that looks a lot like Heero.