There's not a lot to go on here, but I'm gonna assume that it's unzipping fine. Once it unzips, what kind of file is there? If you haven't already, and it sounds like you haven't, I would download Perian. It lets you play a whole bunch of additional file types in quicktime, like avi and divx. And it's free.
No, you will still need to unzip the file. The ability to unzip a file is built into the mac os, so it should just unzip on it's own when you double-click it.
If you think you Mac isn't unzipping the file, I have this other program called the Unarchiver. It has support for decompressing other common file formats like RAR and a whole bunch of others.
Right-click the zip file, select Open With and select BOMArchiveHelper.
This is what should run when you double click it.
Note: this will not work on passworded files.
When you double click to unzip, the unzipped file will appear next to the zipped file. If OS X tries to run the file it's just unzipped, but it's an incompatible file, it will grumble.
Please give us an example of a file which doesn't work.
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