Often, to save space when emailing or preparing a file for download, the file will be "zipped" to save space. That means that one or more files are compressed together into a smaller file with the "zip" extension. If you "unzip" a file, it will simple extract the file(s) from the compressed zip file and change them back to their original form. You have to do that before you can use a file which as been "zipped".
If you received this file in an e-mail, make sure you know who sent it to you and why. Zip files are a favorite way to send viruses, etc. So before unzipping it, make sure that it is something you want to copy unto your computer.