If you're talking about windowblinds, open up the zip file with WinZip or ObjectZip or whatever compressor you use. In the zip file will be a file xxxxxx.wba Extract the .wba file to a directory, double-click on it, Windowblinds will install it and pop up a message from the systray - takes say 10-20 seconds maybe. I don't have Windowblinds config open when I do this, don't know if it matters or not.
If there are any other files in the zip file you want, like wallpapers, extract them out as well.