Related topic.

The download is in .zip format which means you have to unzip it using either win xp built in function or the Winzip program.

But recently I have found a way to upload it in the zipped format and unzip it on the server. I have never been able to do this with ftp client but you can do it using the file manager in your control panel(if you have control panel on your hosting Package)
just upload the file to the folder you want the file to unzip under, in the case of WP the wp-content/themes folder then highlight the file and click on the extract option. This differs a little from file manager to file manager, but somewhere there will be an extract option.
Saves a ton of room on your hard drive, because you can keep the themes zipped.