All the downloads come packed as zip files. On windows most people have access to WinZip, this is freely available on the internet and can be downloaded from here if you do not already have a copy.

On unix there are various utilities available, with gzip probably the most common

Java jar Tool

However, with java is installed, you can unpackage any zip-file using the jar tool :

jar xvf <zipfile>

will extract all files contained in the zip file.

The simplest method is to move or copy the zip file to the target directory, then from a command window, cd to that directory and enter the jar command above.