Oh I get it, it's happened to me before and it's super frustrating!
Your computer is just confusing the file type because of the default association.
The file is indeed one .zip, but it opens with the media player.
You can right-click → "Open with" → "Windows Explorer" to unzip it.
And then copy the extracted files to your USB flash drive for your Janome.
Courage, you will make it!