I have similar question being a newbie to Mac. In Windows, when I received a zip attachment in an email, I double click it and an explorer window opened and the contents of the zip file is shown. I can then drag and drop to extract it. What happened in Windows is that the file is auto downloaded to a temp directory and then Windows opened in causing the explorer to run.
In Mac, when I double click on the zip attachment in the same email client, I could see it pause for a while, as though it is saving to a temp folder in Mac OS and then it probably unzips.. but Finder did not pop up!
Instead, I have to detach the zip file to desktop, go to desktop and double click it for Finder to appear. Not very smart!
I installed The Unarchiver but again, it is as though the .zip was not associated to The Unarchiver. Double clicking the attachment in the email doesn't launch The Unarchiver. What did I do wrong!?