What is WinZip's Involvement?
By default, Windows does not consider Zip files (.zip) to be a high risk but may consider some of the files they contain to be high risk. When you download a Zip file using Internet Explorer, IE will set the Zone Identifier to reflect that the Zip file came from the 'Internet Zone'. When you receive a Zip file as an e-mail attachment using Outlook Express, OE sets the Zone Identifier to reflect that the Zip file came from the 'Restricted Zone'. Windows allows you to open the Zip file in either case because Zip (.zip) files are not generally considered High Risk. However, WinZip applies the Zone Identifier of the Zip file to any files you attempt to extract, then passes the information to the Windows Attachment Manager which decides whether any files need to be blocked from extracting. Files allowed to extract will have the same Zone Identifier included on the Zip file as long as the extract location was an NTFS drive so that later attempts to open these files will be subject to the rules of the Attachment Manager.
For information regarding Windows XP SP2's Attachment Manager, please refer to What is Windows XP SP2 Attachment Manager?