First of all, you need to have his DLC for ME2, have him loyal and returning alive (and import that save, of course)
In Mass Effect 3, Liara's data terminal indicates several purchases Zaeed made in preparation for war. Among these were a weapon repair kit and parts for a discontinued Avenger rifle series. This suggests that Zaeed wanted to go on one final mission with his beloved rifle, Jessie.
As stated on the wiki (spoilers!):
During Korlack's mission:
Zaheed dead after ME2:
If you did not have him alive after ME2, you won't see Zaheed when opening Din's door, but two mercenaries instead.
Zaheed alive and loyal after ME2:
If he survives, the Commander can speak with him before the final battle.
Zaheed alive but not loyal:
If Zaeed wasn't loyal to the mission, he will die saving Korlack. Oddly enough, he won't appear on the memorial wall on the Normandy's crew deck.