I presume that by $\prod\mathbb{Z}$ you mean an infinite product. Since every infinite product contains a countable product, and $\text{Ext}^1(-,\mathbb{Z})$ is right exact, to prove that $\text{Ext}^1(\prod\mathbb{Z},\mathbb{Z})\neq0$ we may as well assume that it's a countable product.
I'll just write $\Pi$ for the product of countably many copies of $\mathbb{Z}$.
By a theorem of Baer, $\Pi$ is not a free abelian group, but if it were, then $\text{Ext}^1(\Pi,\mathbb{Z})$ would be zero. So you can expect any proof to be at least as hard as Baer's theorem.
One proof of Baer's theorem uses a famous result of Specker that describes $\text{Hom}(\Pi,\mathbb{Z})$, and in particular shows that it is countable. This can be used to prove your statement.
Although $\text{Hom}(\Pi,\mathbb{Z})$ is countable, $\text{Hom}(\Pi,\mathbb{Z}/2\mathbb{Z})$ is uncountable (in fact, of cardinality $2^{2^{\aleph_0}}$), since $\Pi/2\Pi$ is a vector space of infinite dimension over the field $\mathbb{F}_2$ of two elements, and so has uncountably many homomorphisms to $\mathbb{Z}/2\mathbb{Z}$.
Now apply the functor $\text{Hom}(\Pi,-)$ to the short exact sequence $0\to\mathbb{Z}\stackrel{\times2}{\to}\mathbb{Z}\to\mathbb{Z}/2\mathbb{Z}\to0$, producing an exact sequence
$$\text{Hom}(\Pi,\mathbb{Z})\to\text{Hom}(\Pi,\mathbb{Z}/2\mathbb{Z})\to\text{Ext}^1(\Pi,\mathbb{Z}).$$
Since the first term is countable, but the second term is uncountable, the third term is non-zero.
Probably there are other proofs based on different approaches to Baer's theorem.