For any $n$ one can always find an irreducible degree $n$ polynomial $q(x)$ over $\mathbb{Z}_p$ (edit see below). In particular $(q(x))$ is maximal, and so $\mathbb{Z}_p / (q(x))$ is a field. The elements of this field can be written uniquely as $$a_0 + a_1 x + \cdots + a_{n - 1} x^{n - 1} + q(x), \qquad a_0, \ldots, a_{n - 1} \in \mathbb{Z}_p,$$
so this field has precisely $p^n$ elements.
Edit By request, here's an easy way to see why such a polynomial always exists: By construction, $x^{p^n} - x$ is the product of all irreducible polynomials over $\mathbb{F}_p$ of degree dividing $n$. On the other hand, the degree of the product of all irreducible polynomials over $\mathbb{F}_p$ of degree strictly dividing $n$ (that is, dividing $n$ and less than $n$) is
$$\sum_{d \,|\, n, \, d < n} p^d \leq \sum_{k < n} p^d = \frac{p^n - 1}{p - 1} < p^n = \deg (x^{p^n} - x).$$
Thus, $x^{p^n} - x$ has a factor irreducible over $\mathbb{F}_p$ of degree $n$.