The sentence "The probability of picking a number at random and having it be prime is zero." is, mathematically speaking, either very sloppy or plain wrong (depending on who you ask) and, if you ask me, is a clear demonstration of why there's always a bit of tension between mathematicians and physicists. We call them sloppy, they call us hair splitters.
The correct sentence would be this:
If $p_n$ is the probability of picking a prime when (uniformly) selecting a random number from $1$ to $n$, then $\lim_{n\to\infty} p_n = 0$.
This statement follows directly from the prime number theorem. That theorem tells us that the if $P_n$ is the number of primes smaller than or equal to $n$, then $$\lim_{n\to\infty}\frac{P_n}{\frac{n}{\log n}} = 1.$$ Clearly, we have $p_n=\frac{P_n}{n}$, which means that $$\lim_{n\to\infty} p_n=\lim_{n\to\infty}\frac{P_n}{n} = \lim_{n\to\infty}\left(\frac{P_n}{\frac{n}{\log n}}\cdot\frac{1}{\log n}\right) = \lim_{n\to\infty}\frac{P_n}{\frac{n}{\log n}} \cdot\lim_{n\to\infty}\frac{1}{\log n} = 1\cdot 0=0$$
This also tells you that $p_n\approx \frac{1}{\log n}$ for large values of $n$, so you also know the speed at which $p_n$ converges to $0$ (rather slowly, in fact).
(*) The statement is wrong or sloppy because of a simple reason: there is a lot left out in the statement "pick a random number". What's the distribution? Uniform? There is no uniform distribution over all integers! OK, which distribution are we talking about then? Because surely, there exist probability distributions over $\mathbb N$ with a nonzero probability of picking a random number. For example, picking a random number by throwing a 6 sided die has a $0.5$ chance of picking a prime number.