A .zip file is an archive of compressed files. Once done, you put the files in afolder with the same name, in the player directory. The same process works for skins. Player models designed for customizing you're Multiplayer experience.
Skins are textures that wrap onto a model.
Since new skins in HL are not as easily changed as in Quake2, you often have to download the entire file including the existing model. On this site you will find models that were created by the Half-Life community. You need to go to Burning Lungs to find skins. This goes the same for skins. Same as above.