Att skriva en underfråga med Zend DB

om du vill kan du ta vad @karim79 gjorde och förvandla ditt subselect till en $this->select() också...

$subselect = $db->select()
->from('sle_instances', array(new Zend_Db_Expr('max(id)')))
->where('sle_id = s.id');

$select = $db->select()->from(array("s" => "sles"), 
array("s.id","i.id as instanceid","i.reference","i.name","i.sic_code","i.start_date"))
->join(array('i' => "sle_instances"),"s.id = i.sle_id",array())
->where("i.id = ($subselect)")
->order('i.name asc');

print($select);

//SELECT `s`.`id`, `i`.`id` AS `instanceid`, `i`.`reference`, `i`.`name`, `i`.`sic_code`, `i`.`start_date` FROM `sles` AS `s` INNER JOIN `sle_instances` AS `i` ON s.id = i.sle_id WHERE (i.id = (SELECT max(id) FROM `sle_instances` WHERE (sle_id = s.id))) ORDER BY `i`.`name` asc