Does anybody know what zzp'* gear ratio conversion kit actually does.

It changes the double chain to a stronger single chain in addition to changing the drive/driven sprocket ratio inside the trans.
This sprocket ratio multiplied by your your diff'* final drive resluts in your trans' FDR.
If you have an SE, you have a 35/35 gear set and a 3.05 differential.
If you got a 37/33 gear set and kept your 3.05 differential, you would have a 3.42 FDR.

The gear ratios in ZZPs site are assuming you have a 3.29 ratio diff..

If your after a 3.29 FDR, all you would have to do is swap out the diff and sun gear.

ZZPs kit can only be installed during a teardown/overhaul but the diff can be swapped relatively easily.

How much would this all cost me?

Labor alone unless you're comfortable pulling the trans and cracking it open will run you $500 minimum. You'll need a PCM change as well.

FYI, if you get a 3:29 gear ratio and a reluctor then you won't need a PCM change.
I went to 3:69 and think about it now and wished I would have gone with 3:29... FWIW.