Cut away the peel and pith from the oranges, and segment over a bowl to catch the juices.
In a saucepan over medium heat, heat the oil. Add the onions, bell peppers, jalapenos, curry, salt, and cayenne, and cook, stirring, for 2 minutes. Add the mango and cook, stirring for 2 minutes. Add the orange segments, vinegar, sugar, and zest, and bring to a boil. Lower the heat and simmer, stirring occasionally, until thickened, 20 to 25 minutes.
Remove from the heat and adjust the seasoning, to taste. Pour into a decorative bowl and let cool completely before serving.
Yield: about 2 cups