if you are using XP or Vista ... you don't need winzip (not for a one off job anyhow)
both V and X have zip support built in ... the file should open just like a folder.
(Often when running an installer ... it's better to copy the file from the zip to a "real" folder before you run it).
if this is the start of something big ... winzip makes life easier (but winrar will give the best of both worlds (as will 7zip)