When you download software or other files from the Internet they are often compressed.
They can be compressed in different way which means you could need different software to decompress (unzip) them.
The most common way used is ZIP. This possibility is internally built in computers with Windows Operating systems. In the subject list on the left you will find instructions on how to decompress ZIP files in Windows.
Other common programmes are:
- Win-RAR: http://www.win-rar.com/
- 7-Zip: http://www.7-zip.org/