The file you received is NOT a zip file. The file you downloaded is an Excel .XLSB file (i.e. Excel Binary Workbook file).
Since XLSB files are binary, they can be read from and written to much faster, making them extremely useful for very large spreadsheets. XLSB files are also generally smaller than typical XLSX or XLSM Excel. As a result, the guys prefer to use the .XLSB file format for many of their more complex models.
However, to open a .XLSB file you must have a version of Excel 2013 or newer. If you don’t have a compatible version of Excel, and since the XLSB file is a compressed version of an Excel file, your operating system (i.e. Windows or iOS) confuses the XLSB file for a zipped file and attempts to extract the file.
To correct this issue, upgrade your Excel to the latest version. If you prefer to open the file in a different spreadsheet tool or find a workaround, you might check out this online guide: