Follow the link Hankers gave, right click on the link to download, select "Save Target As", save it to your desktop, then right click and select "Open With" and select the zip program of your choice (Winzip, Winrar, 7 zip, I use TUGzip). If you just click sometimes WMP skins won't even give you the option to save as WMP just grabs the file. That is way you need to right click the link and select Save As.
Best of luck!