If the file is a self-extracting .ZIP file, which gives it a file extension of .exe ... all you need to do (if you have a program like WinZIP or WinRAR previously installed) is open Windows Explorer, and create a new, empty folder from the File menu. Then left-click once to highlight the file in the right window pane, right-click the file, drag it to the new folder (with the right mouse button held down, and when the folder is highlighted, release the mouse botton, and choose to extract the files into the folder from the context menu that will appear.
You should then be able to see all the contents. This may create new subdirectories in the folder you made, and there may even be other .ZIP files hidden within the .exe that you can open.
There are other ways of doing this, but really, this is the easiest, IMHO. Everyone should know how to drag-and-drop within a file manager, and use context menus in this manner, anyway, especially if you are going to be using Windows on a regular basis.