I don't think that having zipped it with Finder has anything to do with it. I fiddled around with it a bit last night after I posted my question (using a test file) and I think it's specific to Safari and the file being on your hard disk. When using Safari the link wouldn't do anything (no error message though), but Firefox 7.0.1 didn't have any problem with the same setup and proceeded to download. When the same html file was linked to the same zipped file, but on the net (instead of on my hard drive) Safari downloaded it. Maybe it's intentional to prevent some kind of malicious behavior from being executed from within Safari against your computer.