that sounds like a general computer question about compressing.
Whenever you see data types like .zip or .rar instead of .exe, .txt or .doc, it means the file was being compressed.
Compressed means, it will take less space in this form, but you can't do anything with it. To use it, you need to unpack / decompress it first.
After it was unpacked, it's going back to how it was before it was compressed, meaning you now got a folder with the game, just like it was installed. Because someone else installed it, compressed the whole thing and uploaded it on the internet.
TL;DR: someone else installed it, and compressed it so it takes less space on the internet. You can download it, but need to unpack it. After you've done that, it's just like if you installed it.
If you wanna read on how one can compress stuff so it takes less space, wikipedia has this article on that:
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