Make sure you're storing the zip codes in a string type field. Of course, there are no leading zeroes with numeric type fields, therefore I tend to think the Import/Export Wizard analyzed the data in the csv file and auto typed the zip field as a numeric type in the destination table.
Although truncating the leading zeroes is not the desired result, consider the storage, indexing, and querying implications of a CHAR(5) field versus an INT. The conversion truncates the leading zeroes, but does not loose any data that cannot be easily recovered through proper formatting.