The other types of files are EXE files which are know as self-extracting archives. For these types of files, you do not need a separate utility to uncompress them, they will uncompress automatically and will generally walk you through the installation process.
To download a file with your web browser, click on the link for the file to download, and your browser will attempt to identify what kind of file it is. Most browsers are not configured to properly handle .ZIP files, so it will ask you what to do with it. You will get a screen that looks something like this:

From the Options... menu, select General Preferences.... Click on the Helpers tab. Scroll down and locate the item labeled application/x-zip-compressed. Where it says Action, click the Save to Disk button, then click OK.

Using a Web Browser to download files from an FTP site
You can access public FTP sites directly from your Web browser.
Enter the address of the FTP site into the Location / Go To box.
Your browser will show you a graphical representation of the directory
structure such as you might see in a Windows' File Manager or Explorer.
To open a folder and go down into a subdirectory (folder), double click a folder on it.
Click the Up to higher level directory link to climb back up a level
in the directory. An FTP site viewed from your browser should look something like this:
