Zip Files Problem
 

My downloaded zip files open ok but the setup .exe files do not work even when given permission. This occurs to every file I download. I use Vista Home Premium.

You should consider yourself lucky!
zip files are one of the main ways that viruses are transmitted about the internet.
All it takes is for you to click on the exe file that is contained within the zip file and there you go.
Of course if you've got a good antivirus application they should detect the virus within the .mp3 file and refuse you the permission to open that .exe file.

Tried That
 

Thanks, I am able to open the zip files ok but the 'setup.exe' does not take me any further.

taking a cue from RobertR's comments I'm going to bet they are virii/trojans....

I would suggest you do a scan of your machine....

if you are going to be crazy enough to download .exe files from gnutella you had better learn to right click on the search result and choose bitzi lookup