Here is what most of us do: First, create a folder in your My Documents called ZT Downloads. This is where I keep all of my user downloads for easy finding. Now, once you have downloaded the file, double click on it and, if you have Winzip on your computer, it should automatically open. I use the free Evaluation version all the time. Once Winzip is open, select the file, then choose "Extract" from the tool bar above. Use the Browse feature on the bottom to locate your Zoo Tycoon game. It can usually be found at C:/Program Files/Games/Microsoft/Zoo Tycoon (that's its default location on a normal installation). Now when the file extension on a dowload is ".dll", this file needs to be put in to your Zoo Tycoon folder (the main one). If the file extension is ".ztd" you need to put that in your dlupdate folder. That's the graphics file for the download.
If you don't have Winzip, go
here where you can download a free trial version of it. If you have any more problems be sure to research our download support forum as your questions might have already been asked and answered. If not, let us know-we'll do our best to assist you.
LadyZ