The name of your directory depends of your language.
See http://framework.zend.com/manual/en/zend.locale.appendix.html

Then, in this directory you create a file named default.csv. You can copy a file that already exists. For exemple the french translation, http://code.google.com/p/rsslounge/source/browse/trunk/application/locale/fr/default.csv

The structure of the file is important, the pipe character separate the english message and the translated message.