Double clicking should work. If not, select the zip file, go to File menu & choose Open with ... Archive Utility or BomArchiveHelper & it should open.
Do this in the finder, NOT within LW.

For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.