Yea, this is nasty. I'll help you, but I have dutch settings on my PC.. not sure if I translate everything correctly.. use Common Sense(tm) to figure out what I mean.
What you do to solve it:
Click Start
Settings
Configuration
Folder Options (file options?)
File Types
You'll get a big list of possible files. Look for the file you need to change. (so say, in your example, ZIP files.)
Click (ZIP) Winzip File
Click Advanced
Click the white V square for "acknowledge opening after downloading".
Click OK.
Click OK.
Close configuration screen.
Done.