Windows Download File Formats:

.ZIP — .zip compressed files. Windows ZIP (.zip) format downloads require a zip utility such as WinZip, PKZIP, or Aladdin Stuffit Expander for Windows. ZIP files should be downloaded to your local hard drive or "Save to Disk", then expanded.
(Note: .ZIP files have nothing to do with Iomega ZIP disks, but you can store them on one if you want)

.EXE — Executable files. These can sometimes be run as installers or other applications from their web location, but it is best to download these to your local hard drive and then run the installer application.