Programs that come from the Internet are usually made up of a variety of parts. When the suitcase arrives it needs to be unpacked. If the file has an EXE file extension on it, unpacking is simple. Put the file in its own folder, where it won't interfere with any other programs on the computer and double click it. All the files inside the EXE file will come piling out.
ZIP files are somewhat different.
A ZIP file is an archive. It also contains files that are compressed to make them really small. Here's one final note. It will have instructions in it that will explain how to deal with the downloaded file. Of course there always exceptions to these rules.