Files downloaded from ESS BIZTOOLS are "archived" or "zipped". Zip files contain one or more files. Usually the files "archived" in a zip are compressed to save space. Zip files make it easy to group files and make transporting and copying these files faster.
To unzip the zip files that you download from ESS BIZTOOLS you will need a copy of WinZip (or similar). Many computers already have this installed but if you don't you can download an evaluation copy from http://www.winzip.com/download.html.