If they're on your team, roll over the part of their team portrain that has their location. It'll tell you the zone number they're in as well.
As for your own zone....I have no idea, and I would love to know.
aye. And in the group icons on the UI, below their name it says the zone (atlease for me). Also if you press m and go to change instance if your group member is in an instance i will say so under the instance number. This is what it does for me.