I assume you pushed the test button on the receiver? After doing so it should start flashing the green light and receive signals from the transmitter.
1) Does the flash fire when hooked up and you push the test button on the receiver?
2) Does the receiver indicate it receives signal (I think with a brief flash) when you push the button on the transmitter?
Not sure how your flashes are supposed to be set since they are Pentax units, but I am pretty sure they should not be set to wireless but rather to standard manual mode... (If you set it to wireless slave it'll be waiting for an optical trigger from the K20D so I think that's not right -- from the flash's viewpoint it is getting fired just like if it sat in a hotshoe on a camera.) Set the Metz to M mode, put it in the Zebra adapter, connect the adapter to the receiver, put the transmitter in the K20D hotshoe... push test button on the receiver to wake it up, push test button on transmitter. It should fire. Then try a picture with the K20D. Be aware that you do not get TTL flash at all with this stuff, and need to rely on manual settings.
I have 3 receivers and one transmitter and they all have worked flawlessly since taking them out of the box.