The Z-Coord text box appears at the lower right corner of the desktop, adjacent to the Coordinate Display. Depending on the active command, you may be prompted to enter the Z-Coordinate of the base (object or room), or the 1st point for a calculation entity, observer position, etc..
To enter a new value, move the cursor into the text box. The current value will be highlighted and you may immediately enter a new value to replace it. There is no need to click in the cell to change the value; focus is automatically placed in the cell.