A lot of files on the Internet are in .zip format.
Zip files are archives that contain many files inside of a file.
By zipping up several files into one zip file, you can reduce the size of the download and the time it takes to get it. Many, many files that you will find on the Internet will be in zip format. To zip and unzip files, you will need a special program. There are several programs that will do it, but WinZip is by far the easiest to use. WinZip is a shareware program that is available free from the WinZip website.