If you're running XP it has one built in. If not there are unzippers available such as WinZip, PKZip, Power Archiver, etc. Do a Google search for them, but they're not free. Here is a freebie http://www.oldversion.com/program.php?n=powarc for Power Archiver. Get version 6.x.
After you download and install the unzipper, follow the instructions, it's pretty simple. The unzipper will associate itself with all zipped (and other compressed) files. Run the utility and be sure to state where you want the file unzipped. If you don't take notice it will unzip the file and you may never find it.
I have created two folders on my HD. One called Downloads, and a sub menu called unzipped. All downloaded files go into the downloads folder, and unzipped files go into the (duh) unzipped folder. After I am through with the downloaded and unzipped file I delete them. Or save them on a CD-RW disk for future use.
I need help unzipping a file...please HELP!!!