What do you do after Zeus steals the items on Mythology Island?

Go to Herc's Hero Hut and talk to him. After he is convinced, use the Touchscreen Mirror from Aphrodite to take you to Hades lair. Hercules will help move the boulder and you can get the Hades Crown. Then take Hercules to the underwater maze at Poseidon's realm, and he will kick aside the rock there, so that you can enter the throne room and get the Trident.

Travel back to Mount Olympus where Hercules will break the lock for you. On the mountain, Hercules mistakes Medusa for a snake and gets turned to stone. But if you have the drachma from cleaning the Hades temple, you can get a Wind Bag to take you up to the top of the mountain, where you will battle Zeus.