I'm confused as to why you can download zip files as the downloading process is the same irrespective of the type of file. (e.g. if you came across a file in a format that was only used for internal purposes in the University of Timbuktu you should still be able to download it - even though you wouldn't then be able to open it - since the system simply sees it as a block of data and has no way of knowing whether it's a .jpg file, .a pdf file, a .doc file or anything else).
Once you've downloaded it all of the more recent versions of Windows should be able to open it (simply by double-clicking on it) without the need for any additional software.
Some more information might help:
How are you trying to download/open the file? (If left-clicking on a download link doesn't work, right-click and choose 'Save target as' - or something similar, depending upon your browser)