zapchain chains redirectors together.
redir.pl handles the windows update cache
squidGuard checks the URL's based on the rules you configured.
So, when you browse to a web site (or if windows tries to update from Microsoft's web site), then squid asks wrapzap if it is OK to go to that site. Wrapzap asks zapchain to chain together squidGuard and redir.pl and tell it if you can go to the site. Either squidGuard or redir.pl may modify the URL and pass it back to zapchain that passes the URL back to wrapzap that passes it back to squid.
This is a very simplified version of the events, but it basically means that you are chaining multiple redirectors together. This allows you to run both squidGuard and the update cache checker.
Have a look at the last comment in wrapzap. It will explain how you can use wrapzap for the above and not for advertising etc.