Based on this launchpad site (OpenERP - Australian and New Zealand localisation project): blueprints.launchpad.net/openerp-au/+spec/payroll-australia (I'm not allowed to post links so removed http part) it seems that payroll for new zealand is not currently available.

For customization you maybe have to make your own module more info here: help.openerp.com/question/16336/how-i-can-create-module-openerp-7/ (again http is removed because I cant post links)