There will be files that you need to download that are zipped. For example, multiple PDF files. They are zipped or compressed into smaller files for storage and sending across the internet. To gain access to the files within you need to unzip the compressed folder.
Themes and plugins come compressed or zipped, but you can leave them that way and upload them to your website zipped. WordPress takes care of unzipping them.
Other files like the Free Graphic Images you can find on this site’s Download page need to be unzipped before you can access the Folders and Images. There is a program called WinZip that you can download to take care of that. It will UnZip or Zip files for you.
There is a trial version you can download for FREE. When it runs out just delete it from your system through the add/delete feature in your desktop control panel. Then go to WinZip again and Download the trial version once more. That’s what I do because I don’t use it that often to justify buying it.