What's the file extension? Is it an EXE file, ZIP, 7z, RAR?
If it's an EXE file then I'd say your download is corrupt and you should try downloading it again.
I'm assuming you're running XP/Vista/7? All of these three should be able to handle ZIP files without any other software.
If it's a RAR or 7z you may need to install an extractor capable of handling these files. WinRAR is a good one. It can extract both kinds.
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