Add an index on your zipcode columns (both tables) - this will help a lot.
Also, if you alias your tables - you will no longer have to specify the table prefix all over the place:
PHP Code:
$queryvenues = $db->query_read("
SELECT erc_venue.*, dma.*
FROM " . TABLE_PREFIX . "erc_venue as erc_venue
LEFT JOIN " . TABLE_PREFIX . "dma as dma on (dma.zipcode = erc_venue.venuezipcode)
ORDER BY erc_venue.venuetitle
");