If you are using Vista, you can extract the file from a zip by choosing a right button click of your mouse on the file when it fully downloaded from here and yes the download from the manufacturer website is in zip format. You will need to learn to use these compression routines like Winzip and Winrar if you intend to really use the internet for any practical purposes.
But more important then learning how to use a compression routine is learning how to use Windows Explorer, not the Internet Explorer. a master of Windows Explorer can do more or less anything he or she wants with computers going all the way back to 1988 or longer and it will give you some measure of self-assurance too. Just get yourself a decent how-to book from the library and concentrate on Windows Explorer. You will be amazed at what it allow you to accomplish but can be dangerous if not properly used.