There are a couple of choices:
1. put your account in the wheel group and edit /etc/sudoers to allow %wheel to execute commands as root, then:
- create a launcher script that runs 'sudo zenmap'
- create an alias "alias zenmap='sudo zenmap'"
2. make zenmap setuid, as root run 'chmod u+s <path_to_zenmap>'
Most people will try to avoid the setuid option as it could allow local privilege escalation for any user, i.e. anyone on your machine could become root if they can find a hole in zenmap.