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.
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 skins. You need to go to Cold Fusion to find models. This goes the same for models. Same as using them in regular Half-Life, except you put it in the mod's folder instead of the valve folder.