What browser are you using?
For IE, Open Windows Explorer.
Go to Tools | Folder Options | File Types.
Scroll down to ZIP and select it.
Click Advanced.
Place a check mark for "Confirm open after download".
For Opera, go to Preferences->Advanced tab. Select Downloads in left menu. In right side, uncheck "Hide types opened by Opera", sort by Extension, go to zip extension, select Edit. Select "Show download dialog"
For firefox, no clue of how to fix it as I dont use it...
Arun