Hmm... When you download a ZIP file, it's best to extract its contents to a folder. Then you may run the EXE inside. DBPro shouldn't even be needed to run EXE files. If ZIP archives come up as being unrecognized, you could try downloading a program that can open/extract them like WinZIP, WinRAR, or ZipGenius (my favorite). For the first two you can just get the trial version, but the last one is free. Keep in mind that you must extract a ZIP archive's files for the game inside to work properly (or so I've found). I do believe that Windows XP comes with the ability to handle .ZIP files though.
If you need something to test it on try downloading
the demo I made in this thread. The download should give you a .ZIP file. Extract the entire ZIP archive to a folder and see if it you can run the EXE that was extracted. You can also try opening and compiling the .dbpro file if you want.
<-- Spell based team dueling game!