Most problems with unzipping a file from my website is a result of a downloaded file that is incomplete, probably due to a hiccup in your internet connection. The solution is to try downloading the album again (if you paid for the album, click the link in your receipt). Album downloads can be pretty large, so if you're on wireless you should definitely try plugging directly in. You can verify that your download is complete by right-clicking it and selecting Properties (or if you're on a Mac, by clicking it and choosing File>Get Info). The size should match the file size indicated in the download dialog.

All of the files delivered from my music store are delivered in zip archives. Bandcamp, my download service provider, requires that files are archived (zipped) to reduce bandwidth. This is a common practice, and i is your responsibility to maintain your computer. If you feel that Winzip is too expensive (and I happen to agree with you that it is), might I recommend 7-Zip? It is a free, open source alternative that works quite well.