Using integration by parts (with z as the "first function" and e^{-3z} as the "second function"):
int z e^{-3z} dz = z times int e^{-3z}dz - int {(d/dz z) int e^{-3z}dz } dz = z times (-1/3 e^{-3z})- int {1 times (-1/3 e^{-3z})}dz =-z/3 e^{-3z} + 1/3 int e^{-3z} dz = -z/3 e^{-3z}-1/9 e^{-3z}+C