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You have a few options:
1 - Unzip to the same location, and move the files to the correct sub-directories of the various program folders.
2 - Right-click ".zip" file > Extract all.. > use the Browse button to select the location to extract to > complete extraction.
3 - Use the link provided by Cavan1 to change the file extension as needed to allow double-clicking the file to install automatically.
Note - for my mini tutorial on downloading content to keep the original file extension intact, you can go here http://corkyo.wincustomize.com/Articles.aspx?SID=5463&AID=82563 - this allows you to double-click most files that are not ".zip" files to automatically install, as well as the knowledge that if the file ends up as a ".zip" - it is indeed a zip file and not a compressed file that was that was assigned the ".zip" extension during the saving procedure.
As indicated by GoodMorphing, you will need the correct programs installed on your computer to apply the skins/themes.
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