In Heero's Episode Zero act, he is 'raised' (for lack of a better word) by an assassin named Odin Lowe, the same man who killed the colonial revolutionary Heero Yuy in AC 175. Both were at the X18999 colony in the L3 point in AC 188 carrying to carry out a mission that was supposed to lead to a coup d'eat of the Alliance's hold on the colony. However, Odin died during the mission, offering Heero one final piece of advice that the young boy would remember throughout his life:
Always act upon your emotions... - Sound familar?
Once the mission is completed, Heero wandered around aimlessly on X18999, eventually running into Doctor J. The odd-looking scientist offers Heero the chance to pilot a Gundam. Recalling Odin's last words to him, Heero agrees, thus making himself the new pilot of Wing Gundam.
During a flashback Heero has during Endless Waltz, he remembers a mission where he had to destroy a secret OZ base on one of the colonies. After he placed the bombs in the base, he ran off towards a field to rest. Then, a little girl comes up to him, armed with a flower and her little dog. (Note: The girl, ironically, bears a striking resemblence to Relena...) With the innocence and curiosity of the typical child her age, the little girl asks Heero if he's alone. Without hesistation, Heero replies, "I have been alone since the day I was born." The girl hands him the flower, then runs off after her dog. Later that night, Heero detonates the bombs, rather content with his handiwork. However, he miscalculated the blast's magnitude, and a Leo falls right on top of a nearby apartment complex. Heero, unable to move, watches in horror as the moble suit crashes into the building, then explodes, setting the it ablaze. The next morning, Heero looks through the ashes to possibly find any survivors, and finds the little girl's dead dog and her teddy bear. He picks up the dog and heads back to the base. In a voiceover, Dekim Barton orders Doctor J to retrain the boy, since "there is no need for emotions in war."
Once it is time for Operation Meteor to begin, Doctor J decides that the "now retrained boy" needs a code name. He gives him the name Heero Yuy, after the leader who was kiled twenty years earlier...
If you are interested in reading the Episode Zero manga, you may buy the full translated "graphic novel" from Viz Comics.