Have you installed ObjectDock? If you have, dockzips will self extract into your Documents/Stardock/Objectdock folder. If you have not installed OD, then Windows will not know what to do with it.
I run OD on an xp machine and OD plus on 2 vista machines. I have never had an ill issue with dockzips. 
Also, if you download backgrounds and it ends up being just a zipped folder with files inside, do this:
For Backgrounds, move or copy them into your "C:\Program Files\Stardock\ObjectDock\Backgrounds"folder or for icons, move or copy them into your "C:\Program Files\Stardock\ObjectDock\Bundled Images"folder.