What lens are you using? If it is a PZ lens, turn off the auto zoom and use manual zoom (If you can, I don't have any PZ lenses) or be careful to hold it steady as it auto zooms.
The auto zoom, if like all AF Sony and Minolta manual zoom lenses, will zoom out to infinity when first turned on. The PZ lens may do the same but it should then zoom to where you set it. (You turn a ring to zoom, do you not?).
When Minolta introduced the motorized zooms, they were not popular, but surely Sony has improved on the system!