I probably don't need to state it, but here goes anyway...Before running anything in the file, make sure it's OK with a virus scan. A lot of it depends on knowing and trusting the sender, and the sender running a safe system, but a lot of virii can piggyback in on otherwise safe files. Better safe than sorry - unzip it, refuse to run anything until scanned, and then do so.
As to the .ZIP format itself, the reason it looked weird in windows is due to .ZIP being a compressed file. Think of it as squeezing the file down to its smallest size (or close to), and then when you use WINZIP to 'decompress', you're opening it up to its normal size. Just about any file can be zipped.
M