se quiser, você pode pegar o que @karim79 fez e transformar sua subseleção em $this->select() também...
$subselect = $db->select()
->from('sle_instances', array(new Zend_Db_Expr('max(id)')))
->where('sle_id = s.id');
$select = $db->select()->from(array("s" => "sles"),
array("s.id","i.id as instanceid","i.reference","i.name","i.sic_code","i.start_date"))
->join(array('i' => "sle_instances"),"s.id = i.sle_id",array())
->where("i.id = ($subselect)")
->order('i.name asc');
print($select);
//SELECT `s`.`id`, `i`.`id` AS `instanceid`, `i`.`reference`, `i`.`name`, `i`.`sic_code`, `i`.`start_date` FROM `sles` AS `s` INNER JOIN `sle_instances` AS `i` ON s.id = i.sle_id WHERE (i.id = (SELECT max(id) FROM `sle_instances` WHERE (sle_id = s.id))) ORDER BY `i`.`name` asc
