Zones are as big or as small as you want or need them to be when you’re setting up the scene.
And that’s not especially helpful by itself. @Murrdox has some good suggestions for the practical side of it, but there’s another factor which is useful to consider: you can vary the size of zones within a single area.
The most common reason to do this to create the feeling of dense or open terrain - a large zone can be moved and fought across easily, so one big area is fine, while lots of smaller zones constrain movement and shooting, akin to dense terrain.
Terrain inside buildings is normally quite easy: walls, rooms, corridors, and the like make good natural divisions. Urban areas aren’t much different - you can probably pick out small assortment of key features and points of interest that you can build a zone around (with each zone being the immediate vicinity around those features (that pedestrian crossing is one zone, that bus stop is another, the parked car over there is a third zone, etc.).
Beyond that, a lot of it is gut feeling and judgement calls… but one of the things about action-movie style combat is that action scenes tend to happen in interesting places, and interesting places are full of useful objects, places, and divisions of space that lend themselves to defining zones. The kinds of open, empty spaces that are harder to break into zones are also the kinds of places that are less interesting to have action scenes in.
That may be a legacy error (something present in an older draft of the rules which wasn’t updated later) - in the earliest drafts (when the system was closer to the Mutant Chronicles version), weapons had a Mode (Single, Semi-Auto, Full Auto) instead of Burst, though the end result was the same (in mechanical terms, Single was Burst 1, Semi-Auto was Burst 2, Full Auto was Burst 3). However, I’m not seeing it on the character sheet in my copy of the rulebook, so I’m not sure where you’ve seen that error.