Zorua can't be captured in any 4th generation game (Diamond, Pearl, Platinum, HearGold, SoulSilver), as it is a 5th generation Pokemon.
To get Zorua in a 5th generation game, you have to have gotten Celebi from the GameStop Event on one of the 4th generation game. Then use the Relocator in Castelia City (Password: Everyone Happy Simple Connection)
While Celebi is in your party in Castelia City, Zorua is the boy on the first floor of the GameFreak building in Castelia City. Talk to the boy, and he turns into Zorua. Battle it, catch it, and you have a (legit) Zorua.
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You need event celebi by transfering from diamond, pearl, platinum, heartgold, or soulsilver using the Pokemon relocator you got from castelia city.
diamond
THE POKEMON THAT ARE NOT FOUND IN DIAMOND AND PEARL ARE:MANAPHY PHIONE
You can get Palkia in Pearl, otherwise you have to transfer Palkia from Pokemon Pearl to Pokemon Diamond.
some of the Pokemon are different such as diamond has dialga and pearl has palkia some of the Pokemon are different such as diamond has dialga and pearl has palkia