All of our music is delivered as a zip file. That way a whole digital album can be kept together into a single smaller folder. Most modern Operating systems can unzip files. If you have problems you may want to try 7-zip.
Note when you download zip files with the Safari web browser, it may automatically unzips files into a folder and then deletes the original zip file. If you don’t want Safari to do that then; Safari > preferences > General > un-check “Open safe files after downloading”. Leaving that function unchecked is a safer option.