If you're using Windows XP, then your operating system has built-in support for Zip files. They are described as "Compressed (zipped) folders." Just double-click on a Zip file and it will open in Explorer, just like a folder. Double-click on a file inside the compressed folder and you may be able to open that too (but really, Windows has extracted a copy of the file to another location and is opening that, as described above.) But if you right-click on items in a compressed (zipped) folder, you'll notice that the same options don't appear on the pop-up menu. This shows that it is not a real folder.
If you're using Windows 95, Windows 98, Windows Me, Windows NT or Windows 2000 then you'll need to install a special application to open Zip files. The application that is usually recommended to use is WinZip. WinZip became popular because it was the first ever Zip / Unzip utility for Windows. But with each new release it has become bloated with features and options that most people never use. Many people are totally confused by it.