Downloads almost always come in compressed (zipped) files. This makes the files much smaller and easier to upload and download. You need a program that can unzip the files before you can use them. General opinion is that 7-Zip is the best of these, though most of them will get the job done.
Yes, Google is your friend, and typing in a name like 7zip will take you pretty much right where you want to go, but in the interest of presenting a good face for Subsim here is the correct address.
http://www.7-zip.org/