ElecsLab

Your circuit redrawn, it should make it easier to see what is wrong. http://everycircuit.com/circuit/6163323631960064

Next, what is the circuit supposed to do? The 5 V zener supplies the answer. It's polarity also suggests that the bottom rail is the negative, but this is connected to the positive side of the bridge. Next is the earths, if a transformer has a bridge rectifier on the output, the earth should be on the dc rail, normally the negative. To make this circuit work the should also be an earth on the primary side of the transformer. This means by default that the primary and secondary should not be connected in this circuit. At this time the circuit should be almost working, the only thing that is not working is that the volts are too low for the zener to regulate the output, adjust the transformer secondary ratio to allow a zener current of between 10 - 20mA, this current will allow for changes in the load.

http://everycircuit.com/circuit/4987790747500544