Examine the Huge Materia. Pick the top
option and when the first message appears, press Circle. Then, on the second message, press Square; on the third message, press X and on the fourth one, press X.
I got this from GamesFAQ's, so it's correct becuse I've tried it recently. And I'm pretty sure you go upto the blue Huge Materia in order to get Bahamut Zero.