Its a bit difficult to explain the theory concisely but here goes:
Zonal Marking = Each player has a particular area of pitch to defend. So for a central defender it will be the area directly in front of goal. When an opponent enters this area he will be marked until he enters another players defending 'zone' then the defender will back off (unlike man-marking). This is good to keep a disciplined defensive line, so that your defenders are not dragged out of position by attackers and therefore leaving spaces for the opposition to exploit.
Covering = Covering players provide cover for team mates who may be caught out of position. If i play a sweeper then i set him to cover so he's there to clear away any stray balls that get through the defence. I often set the Left/Right Backs to cover as well so that wingers can be free to attack without leaving gaps open.
It is worth experimenting with even if the differences are subtle. I leave most of the team on zonal and set a few players to covering as i said above.