A zip-file (compressed folder) is kind of a package with another file within. Let's assume it's a .mp3 file or any other file that it can paly. Then you have to get that file out of the package, so to say. That's called "unzipping" or "extracting".

The easiest way to do it: doubleclick the zip-file you received in My Computer or Windows Explorer. You'll see the contents in the right pane. Then drag and drop that to any other (normal) folder in the left pane. Then use WMP to open that extracted file.

http://windows.microsoft.com/en-US/windows-vista/Compress-and-uncompress-files-zip-files tells more.