Mark,
Are you talking about profiler or Xp series mill ?
Are you using the wheel or the - / + keys?
For all 2000/2003 series:
You use the - / + keys (the number key pad) to zoom. Place your cursor at what you want the center of your screen to be it. Your function will stay locked on this way.
For all XP series:
You can also use the wheel on your mouse to zoom in or out and also rotate without loosing your function.