I don't think rng is populating properly.
I've tried to run this and rng always = 0, never the range that it
should contain.
I don't know why it doesn't work but I worked around it;

Sub Macro4()
Dim Lrow As Long
   Dim CalcMode As Long
   Dim StartRow As Long
   Dim EndRow As Long
   Dim MyRng As Range

   With Application
       CalcMode = .Calculation
       .Calculation = xlCalculationManual
       .ScreenUpdating = False
   End With
   Msg = "Please Check You Have Loaded The Label Paper Correctly - " &
_
vbCr & "Labels Will Be Sent To Printer - All Data Will Be Deleted " & _
vbCr & vbCr & "Click OK When You Are Ready To Proceed"
MsgBox Prompt:=Msg
   With ActiveSheet
       .DisplayPageBreaks = False
       StartRow = 2
       EndRow = 5000
       ZeroCells = 0
       For Lrow = StartRow To EndRow Step 1
           If IsError(.Cells(Lrow, "B").Value) Then
               'Do nothing, This avoid a error if there is a error in
the cell
           ElseIf .Cells(Lrow, "B").Value = "0" Then
                   'Set MyRng = Application.Union(MyRng, .Cells(Lrow,
"B"))
               If ZeroCells > 0 Then
               Application.Union(Selection, .Cells(Lrow, "B")).Select
               Else
               Cells(Lrow, "B").Select
               End If
               ZeroCells = ZeroCells + 1
           End If
       Next
   End With
   'hide all rows in one time
   If Not Selection Is Nothing Then Selection.EntireRow.Hidden = True

   With Application
       .ScreenUpdating = True
       .Calculation = CalcMode
       Application.Run Macro:="Macro5"
        MyRng.EntireRow.Hidden = False

   End With
End Sub

Which seems to work.