20 smoke,
That sounds like the file is mis-named somehow... what is the exact file name of the zip file you're trying to open? You might need to unhide extensions (in XP, you'd go into "folder options" and click the "view" tab, then UNCHECK the "hide extensions for know file types" checkbox...) Vista should be something similar...
I have a feeling there's a hidden ".pdf" extension on the filename that you're not seeing...