A zip file is a collection of one or more compressed files. This problem can occur when the zip was inserted into a Word or WordPad document, and you are using Windows XP SP1 or older.
This is a known problem with Windows XP SP1 and older. Updating to SP2 or later will correct the issue, or you can install the Microsoft hot fix (a special update) to fix this issue:
Hotfix for Zip Damage Message
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