Illustrator :: CS4 - Joining Zigzag And Straight Line?

I'm using CS4 on a mac.
 
Here's what I want: a filled rectangle in which the top and bottom line segments are straight, and the two side line segments are zigzag. I can't seem to find a good way to do that.
 
First thing I tried: Make a rectangle, then Effect > Distort & Transform > Zig Zag. That turns all segments of the rectangle zig zag, and I want the top and bottom to be straight.
 
Next: Draw four separate lines and join them to make a shape that I can fill. I can do that, right? Anyway, the problem: I draw a zigzag line, and a straight line and right angles. I select the endpoints with the pen tool (right?) to join them. When they join, either they both become straight or they both become zigzag. Which is not what I want either. Here's a picture of what I'm trying to do.
 
The other thing I noticed is that the Zig Zag effect doesn't give me additional anchor points (at least from what I can see), and doesn't give me anchor points where I want them. See in the above picture, where I have the left-hand line segment selected, the path is still straight so the anchor points don't line up with the zigzag line that is visible to me. Which means when I try to join the segments, they make funny shapes at the corner. Which is also annoying. This thread seemed to indicate that Zig Zag should give me additional anchor points at each corner: [URL]. Why don't I get that? Is it a CS4/CS5 issue?