Lookup County with Zip Code

Yes, you are missing a step.

You will need to set the table which has your ZIP Codes and counties such that the ZIP Code is the key field.

Then you will need to make a relationship where one postal code entry has many transactions. For the reference field on the right side of that relationship you will use your look up field that you show in the picture above which is the ZIP Code.

Then you will be able to look up the county from the ZIP Code table down to your transactions table.