Locate the zone valve. Make sure that solenoid is manually closed (along with bleeder screw if it has one.) If that does not take care of it then (turn the water off) remove the top plastic part of the valve (not the solenoid) and clean the diaphragm and reassemble. Turn water back on to test. If this still does not do it, then go buy a replacement valve and replace all of the inner pieces along with the solenoid.

When you turn another zone the pressure should drop since both zones are trying to come on, true?

Here is a link that might be useful: irrigation troubleshooting