The files prefixed with an underscore need to be in your $fpath somehow.
There are several ways you can do that:
1) copy them to a directory that is already in your $fpath
2) create a directory such as ~/.fpath and add it to $fpath
3) add this directory to your $fpath

To add a directory to your $fpath do something like this in your .zshrc

fpath=(~/.fpath $fpath)

Make sure the above line is before your call to compinit

Also consider getting zsh 4.1.x which has a lot nicer completion formatting
for one thing. (add it to /etc/shells and run chsh)
"apt-get install zsh-beta" or be square :)

I also like the following zstyles for more verbose completion info

zstyle ':completion:*' verbose yes
zstyle ':completion:*:descriptions' format '%B%d%b'
zstyle ':completion:*:messages' format '%d'
zstyle ':completion:*:warnings' format 'No matches for: %d'
zstyle ':completion:*' group-name ''