The On-Screen-Display doesn't show up

First check if you have a 6102 bootcard inserted, the OSD will only work with one of these.
Then maybe you did power on the N64 to soon, try to wait a while between starting the Z64 and then the N64.
It it keeps not showing up, maybe your Z64 is broken, do a selftest with a bootcart inserted. It should display Card Read Error if thats the case.
You also need a Z64 version 2 or higher to have a OSD.