I absolutely love Zumba!!
I wasn't sure about it but I got the same set you did and it went through all the basic moves which was very helpful to me because I can be rather uncoordinated at times....lol I just love the music and its a really fun workout, plus I burn around 600 calories during the workout so that's pretty good as well.
As far as space goes I think about 4-6 feet around you would work, that's about what I have and it seems to be fine.