Well firstly: you must define this a lot further, as a player of many games and planer for these kind of eventualities your question leave alot to interpretation. (Ok thats just me being facetious)
Well are they slow or fast zombies. Do they moan and walk towards any noise that is made or do they 'remember certain things/retain some semblance of intelligence?
Am I at work when I hear or at home or somewhere else like in transit or shopping?
Do I hear early in the breakout or late?
Because you must simply have a separate plan for each of these eventualities and more!
Picking the most common scenario of being at home and seeing the early stages of outbreak on TV: Near me (under 500metres away) is a store that sells shotguns, small caliber rifles and bows/crossbows. As long as I hear early enough I head here to get armed and grab supplies (they also sell long lasting food and bottled water, water very important) also stop by shops very fast to ensure good supplies like batteries for my torches, radio and walkie talkies, alo replacement gas for camping stove. then after that it depends on the speed of outbreak an imediacy of my threat level. If I have time and mass looting and panic hasn't started then I head up to an old fort on a hill relatively near me, its a WW2 bunker style place which has new fitted iron railing etc so only the door will need barred once inside. if I have no time then up into attck and take up the ladder with me :)