Thats one way to do it (as Mikaboshi said), but theres also another way:
First, save the folder to My computer/C Drive/program files/Microsoft games/Zoo tycoon 2. Then, extract it with Winzip to the same place (My computer/C Drive/program files/Microsoft games/Zoo tycoon 2). When you open up the folder, you will find two things: a folder, and a file. Go inside the second folder, and you will find another file. Cut that file, and exit out of the second folder, back into the first one (where the other file was) and paste it next to the first file. Then, select both the files, cut them, and paste them in the main ZT2 folder. You will be left with two empty folders (one within the other) You can delete these empty folders if you wish. When you load up the game, the downloads should work.
Just make sure that the files you download are compatible with the version of ZT2 your running