Hey there.
So, you double click on the .zip files on the cd and it says "this is not a chat"?
That would indicate that your computer thinks that a file that ends in .zip is some sort of a chat file.
Do you have Winzip installed?
www.winzip.com for a free trial.
If you do, you should open Winzip, Go to Options, then Configuration, then the system tab. Check off the "associate winzip with archives" button.
This should do it.