According to the E-pH diagram for Zr at http://www.slideshare.net/RafaelArdila1/atlas-eh-ph there is a region of solubility as ZrO2+ at low pH. However, Zr has been used to hold nitric acid in nuclear fuel reprocessing, so you'll need to experiment. Flouride tends to cause corrosion of the Zr, so you may want to try some HF (but beware - it is one of the most dangerous chemicals to work with). Otherwise you'll need to find strong complexants to get the Zr into solution.
Always,oxide is made from baking not directly made from solvent.As I know,there are so many method to get ZrO2 particles or thin films.Search it and you can easily find what you want.
You can use zirconyl nitrate that is soluble in water. Then you just play with pH to make ZrO2 species precipitate. The reaction is quite hard to control, so you will probably need a complexant to slow down the speed of reaction. There is a lot of papers dealing with it. Good luck :)