show us a screen grab so we can see whats happening.
1. select the swatches palette tab to bring the palette forward. click any swatch (except white) to select a foreground color to use to paint the path.
2. select the direct selection tool and click to select the zigzag line in the image window.
3. on the paths palette menu, choose stoke subpath to open the stroke subpath dialog box.
4. for tool, select brush from the pop-up menu, and click OK. the path is stroked with the current brush settings.
you may have followed these steps, but if you have and havent achieved the look, then post screenshots.
Which version of Photoshop are you using?
And which tutorials are you looking at (too many of them are really, really wrong).