Most downloads are zip files, once downloaded you extract them to a temporary directory and move the resulting files to their proper place from there.
You will need a zip extraction tool to extract them, Winzip is fine.
Other downloads are in the form of exe files.
Some of these are self extracting and will do the business automatically.
Others will extract the files where you tell them and you can, if required, move them to their final destination manually.
Another form is rar files these are like zip files and will need an appropriate extraction tool to extract the files.
Winrar, Winace and sometimes Winzip will do this job fine.
Planck