First of all, always always always Run a virus check before you open a Zip file. There are way too many viruses going around in LW, and that is a one of the more popular ways of getting you to unleash one on your system.

Open Zips from the folder it was saved in. You can do this by clicking the explore button. It should open whatever file it is but...

It depends on the Zip file, but I have found that many are corrupt and won't do anything.

Be on the safe side and run a virus check on your system ASAP.