The source of the fire has been intentionally left blank as at the time I did not deem the source worth imagining, let alone stating, however here are some ideas
* The fire was completely accidental, it was a miracle that it remained contained
* The fire has been kept burning since the last natural brush fire or lightning strike which puts ZIm in an even more scary situation than his dream.
* They have managed to figure out how to produce their own fire using friction
* Some guy called Flint has managed to figure out how to produce sparks by banging certain rocks together. His former business partner has been suffering from an unrelated concussion.
* A freak lightning storm has fused some sand together and they are using the remaining congealed mass to focus sunlight onto dry tinder. The first guy who tried it managed to burn his foot before figuring it out.
* They borrowed someones matches http://www.dailymail.co.uk/news/article-2080050/Now-thats-chim-PAN-zee-Meet-monkey-fry-burgers.html
* They a high level of magical ability
Any way they did it fire would have been pretty necessary for early survival because in climates where the day is warm the night compensates by being that much colder. The only other option they would have to keep warm would be hunting and if Zim really does forget his camouflage gear or insists in talking loudly in Buffy Speak (if he can vocalize at all) while hunting they may be fresh out of luck.
The story was a test to see if anyone could spot the hidden possible practical concerns to see if they really believed that there were no other in-built attitudes in our early history that warranted us wearing clothes .