A Zip file bundle is just multiple files compressed together into a single container file, so you can send more information in a smaller package. They're one of the most common ways that people exchange files online. However, nefarious folks do tend to use Zip files to sneak malicious content and camouflage malware into your machine.
So, while Zip files themselves are not dangerous, do beware that there may be a surprise inside a file you download off the internet, so always use one of the best antivirus software tools to scan any files downloaded from the internet or that you don't know its origin.