It sounds like the .exe file has been damaged in the compression stage of putting it into the .zip format. the only thing you can do is to try redownloading the zip file and hope you get one that the exe file has not been corrupted in. Or you could possibly write to the suppliers of the zip file and tell them that you are having these problems and they might look into it for you.
First though I'd try re-downloading the zip file and hope you get a good one without the corrupted exe file.
Good Luck