A zip file is an archive file. A zip file compresses the size of item(s) inside it. Zip files can be opened with a range of programs such as WinZip, TugZip, ... etc. But even Windows XP & later have a built in archive opener.
More information on ZIPs
File Extension .ZIP Details (ignore the registry advert in middle of page) and also
http://en.wikipedia.org/wiki/ZIP_(file_format)
Just be wary of any ZIP file you find on gnutella network. Always scan it first with your anti-virus software.
Other common archive formats: RAR, 7z, Tar, sit, ...