Is it a Windows only file type? I've used a program in the past called Zipeg. Basically you download the file, the open Zipeg. Use Zipeg's interface to navigate to the file and then unzip. I used it while monkeying with updating the firmware on my 2006 Mac Pro's DVD drive.
Before you go through all that though, right click on the file. Select "get info" and look at the file extension. Does it end in ".zip"? If so, just click into the field on the window and backspace to delete the ".zip" extension. Close the window then try to open the file again from the desktop.