Sounds like ZIP files are associated with Internet Explorer on your machine. Download another ZIP file, then find the file in Windows Explorer. Right-click on the file & select Properties. Files in ZIP format should be associated by default with the Windows Compressed (zipped) Folders utility like this:

If not, click the Change button & select the program you wish to open it from the list. This can be the Windows utility or any suitable 3rd party software like WinZip.

PS. I'm assuming you have WinXP. Vista might be different.