It sounds like you have the same problem that I occaisionally get. The stuff in you file associations may need to be reset.

Under Xp you need to:
1: open an explorer window.
2: On the menu go to Tools, Folder Options.
3: Under foler Options open file types
4: Open files types & go to .ZIP file types
5: Open Advanced and change settings to "confirm Open after download"

I've attached a screen shot of how mine is set up. If the confirm open is not check - whenever I download the file automaticly opens . . .

Allan Thornton