Download the .zip file. This is a compressed file - you will need to "uncompress" it before you can get at the files within. So...
Unzip the file...
for Windows XP, right click the .zip file and select "Extract All..." from the menu. An extraction wizard pops up. Select a location to save the extracted folder and it's contents.
for Mac OSX, double-click the .zip file. The content will automatically be extracted to a new folder on your desktop.
The folder is now uncompressed. Open it up and have at. You can delete the .zip file you downloaded.