Board Thread:Questions and Answers/@comment-10963259-20130617080705/@comment-2094219-20130617143514

Right-click on the zip file and click "Extract", then choose the location you want to extract the file to (i.e. Documents, Downloads, etc) and you should be able to play it by clicking on the .exe in the extracted folder.

If you can't extract it for whatever reason, get WinRAR, or at least the trial version of it. It's incredibly useful.