Windows XP has an unzipping program built into it. Double-click the file to launch the program and select where you wish the unzipped file to go. (You might also need to select an 'Extract' option. I don't use XP, so I'm not sure).
Once the file is unzipped, you'll have two versions of it on your PC. (i.e. the zipped version and the unzipped version). The unzipped file will be playable and you can safely delete the original (zipped) file.
If you're using an earlier version of Windows, you'll need a separate unzipping program, such as IZArc which is free, here:
http://www.izarc.org/
(Once you've installed IZArc, double click on the zipped file. Then right-click on the file name, in the right-hand panel. Select 'extract' and choose a destination for the unzipped file).
Chris