In a bowl, combine ginger, soy sauce, lime juice and oil. Add chicken chunks and coat well. Cover and marinate 2 hours. Soak 8 wooden skewers.
Make the satay sauce: heat the oil in a saucepan, add onion and cook 5 minutes. Add peanuts and cook another 5 minutes. Add garlic, curry paste, soy, sugar and coconut milk and bring to a boil. Simmer 5 minutes until sauce is thickening, then transfer to a blender and puree.
Preheat the grill. Thread the chicken onto skewers alternately with the capsicum, zucchini and mushrooms. Place on a baking tray and brush with the marinade. Cook 10-15 minutes, turning and basting once or twice. You can also do this on the barbecue.
Meanwhile, reheat the satay sauce. Serve skewers drizzled with sauce.