Or for people using XNA when the system is flipped.
First calculate the mouse cursor in the world. Since the mouse position system in XNA is flipped subtract the mouse Y from the height of the screen.
var mouseinWorld = new Vector2((cursor.X * oldZoomLevel) - world.X, ((cursor.Y - screen.Height) * oldZoomLevel) + world.Y));
Now change your zoomlevel.
Next is to calculate the new world location.
var newX = (cursor.X * newZoomLevel) - mouseinWorld.X; var newY = mouseinWorld.Y - ((cursor.Y - screen.Height) * newZoomLevel)
Now update the world location with the newly calculated coordinates.
world = new Vector2(newX, newY)

Or for people using XNA when the system is flipped.

First calculate the mouse cursor in the world. Since the mouse position system in XNA is flipped subtract the mouse Y from the height of the screen.

var mouseinWorld = new Vector2(
    (cursor.X * oldZoomLevel) - world.X, 
    ((cursor.Y - screen.Height) * oldZoomLevel) + world.Y));

Now change your zoomlevel.

Next is to calculate the new world location.

var newX = (cursor.X * newZoomLevel) - mouseinWorld.X;
var newY = mouseinWorld.Y - ((cursor.Y - screen.Height) * newZoomLevel)

Now update the world location with the newly calculated coordinates.

world = new Vector2(newX, newY)