What probably happened is you at one time unchecked the "Always ask..." box when downloading a zip file, which caused IE to always invoke Winzip. Go into Windows Explorer, click Tools (or View if using IE4) --> Folder Options, then click the File Types tab. Scroll down and find ZIP. The rest depends on your version of IE and Windows...
Windows 2000 - click Advanced, and check "Confirm open after download"
Win98, IE 4, or whatever else - I think it's the same, but there may not be an Advanced button... might have to dig around for the setting (I don't have another Windows box handy)...
Hope this helps.