The default shell for all users is /bin/bash. This setting comes from Active Directory and it cannot be changed. However, you can add code to your login init script that will change the shell whenever you log in. Edit ~/.bashrc and add this code at the end of the file.

if [ "$PS1" ]; then
  export SHELL=/bin/zsh
  exec /bin/zsh --login
fi

The if statement is necessary for the change to apply only to interactive logins. If it was not there, the change would prevent some non-interactive applications like file transfers from working.