I think he means that there's no application associated with .zip files installed on his box, and Windows doesn't know what to do with the downloaded files.
If that is indeed the case, then go grab 7-Zip. It's an excellent (and Free/Open Source!) archive manager. Here's the site:
http://www.7-zip.org/Once you install it, right click the zip file, choose "Open With..." and select 7-Zip. Also make sure to check the "Always open with this program" box to permanently associate zip files with 7-Zip.