Hi,
'z' is used to represent 'redshift'. This is the amount that the wavelength of light has changed between being emitted from a source and being received by us - ie. it measures the stretching of light. And this can be due to the object moving away from us when the light was emitted, or due to the expansion of space. Hubble's detection of the redshift of light from galaxies led him to discover that the Universe was in fact expanding.
So - we can use the 'z' to give an idea of how far away an object is. A redshift of 0 means it is very close to us (because the light has not stretched at all). A redshift of 1 is very far from us (about 10,000,000,000 light years away!) and this is at the very edges of this telescope. Most galaxies in the SDSS are between 0 and 0.3, but galaxies exist out to redshift of z~7.
If an object is at exactly z=0.000 in the SDSS then it is probably a star (or something in our own galaxy).
(To be more specific, if R is the size of the Universe now, then the size of the universe at redshift z is R/(1+z). So at a redshift of 1 the Universe was half of its size.)