We have grown large single crystals of ZrB12 with an image furnace at Warwick. Our previous uSR study on a polycrystalline sample of superconducting ZrB12 using MuSR at ISIS indicated the existence of three different regimes (flux excluded region, a region in which there is a well defined flux line lattice, and a crossover region between these two phases) below the superconducting transition. As the system is anisotropic, using a polycrystalline sample we were unable to probe for the role of anisotropy in the behaviour in these three regions. Therefore we propose an extended study of the temperature and magnetic field dependence of the penetration depth of a single crystal of ZrB12 is essential to better define the phase diagram and the extent of the type-I and type-II regions in this material.