For shopping the Petronas Towers mall is pretty much UK shops and prices, there is a huge really cheap mall about 10 mins from the centre towards Petaling Jaya but I can't for the life of me remember what it was called lol. As mentioned China Town on the evening is worth a visit!
The huge mall you mention is probably Mid Valley Megamall - you can take a taxi from KLCC, or take KTM from KL Sentral to Midvalley (only 1 stop!) lots of other big malls for shopping : The Curve / Ikano / Ikea (Damansara Perdana, can get shuttle bus from Kelana Jaya LRT station), Paradigm Mall (Kelana Jaya, new mall, never been ..), Empire Subang (Subang Jaya KTM station)
If you're not into shopping , going around and trying all the food is a good idea - lots of choice of cheap and tasty food , maybe visit KL Bird Park if that interests you .
For nightlife you can go to Changkat Bukit Bintang , not too far from KLCC either, lots of bars there

. I've never actually been to Zouk despite staying here for over 2 years
Oh and about the shopping prices, most things are quite similarly priced - but there's no VAT on most goods here, this is why Apple things do work out around 20% cheaper than the UK ! If you want to look for any computer related stuff, check out Lowyat Plaza (Imbi Monorail, opposite Times Square)