Often data available over the Internet is in a compressed format.
Compression allows larger files to be downloaded in less time.
It also allows you to download many small files with one command. You will recognize compressed files by the filename extensions. These files can usually be downloaded to your computer by clicking on the file name in the Browser and asking to save the file when your browser gives you the option. Once you have saved the file to your hard drive you can uncompress the file by double-clicking its icon from within Windows Explorer. When you double-click it you will see a window with a list of the file names and directories the program is extracting from the file.