Files are often "zipped" or "compressed" in order to allow for faster download and to download multiple items at the same time. If you have downloaded a zipped file, you will need to extract the files in order to open/play. Right click and choose "Extract All..."
You will be given the option to extract the files to a specific location. We recommend extracting to your Desktop for easy file access. Once you've extracted your files, they will look similar to this:
Simply double-click on your desired file to play.