Ah, *sigh* Most downloads are in .z2f form, but it looks like you got "lucky" and downloaded those that need to be installed differently. It's really difficult to tell you exactly where they go, but the whole folder(s) you downloaded have to go in your
c:\Documents and Settings\??\Application Data\Microsoft Games\Zoo Tycoon 2 folder... I think. Or it may be inside the Downloads folder you see there.