Just like elephents [sic].
When they get cold, they put a jumper on.When they get hot, they take the jumper off.When they wonder why they do this, they research their own homework.
+1.If you want a more serious answer: "The same way other mammals do, especially other mammals which are closely related to it." It's easy to find and fill in the details, if you want them.
I bet that's the same way Jennifer does it. ;-) Stop me if you've already seen this one.Bill Nye the Science Guy - "Jennifer's A Mammal"http://www.youtube.com/watch?v=UiYeMntc9jE
I assume that you are asking about zebras in particular because their stripes are thought to aid heat loss. For example: http://www.planet-pets.com/plntzbra.htm "Some scientists suggest that stripes act as a cooling system through a process called convection. As the zebra stands in the sun, the black stripes grow to be 10 degrees Celsius hotter than the white stripes. A special layer of fat beneath black stripes insulates the zebra, allowing it to withstand the higher temperature. Heat causes air to circulate: sweaty hot air rises off the stripes and is replaced by cooler, dryer air. Like a fan, the evaporation of sweat cools the zebra."
Zebras are mammals and endotherms so the regulate body temperature with their hair circulatory system and sweat primarily. Life processes such as movrment and cellular activity generate heat, hair keeps heat in, the circulatory system moves heat around and sweat plus other heat sinks release excessive heat.