  We present the first high resolution X-ray spectrum of the bright O4Ief
supergiant star Zeta Puppis, obtained with the Reflection Grating Spectrometer
on-board XMM-Newton. The spectrum exhibits bright emission lines of
hydrogen-like and helium-like ions of nitrogen, oxygen, neon, magnesium, and
silicon, as well as neon-like ions of iron. The lines are all significantly
resolved, with characteristic velocity widths of order 1000-1500 km s^{-1}. The
nitrogen lines are especially strong, and indicate that the shocked gas in the
wind is mixed with CNO-burned material, as has been previously inferred for the
atmosphere of this star from ultraviolet spectra. We find that the forbidden to
intercombination line ratios within the helium-like triplets are anomalously
low for N VI, O VII, and Ne IX. While this is sometimes indicative of high
electron density, we show that in this case, it is instead caused by the
intense ultraviolet radiation field of the star. We use this interpretation to
derive constraints on the location of the X-ray emitting shocks within the wind
that are consistent with current theoretical models for this system.
