If someone has sent you something in a Zipped Folder, you may find that the files can't be opened while the folder is still Zipped. This is particularly common with PDF's stored in a Zip folder.

Unzipping the folder can be done simply by opening the folder in File Explorer and selecting the "Extract All" button at the top of the window. You can then choose where to extract the files and whether you want Windows to automatically open the folder for you when it's done extracting.