Sounds like you need to download
7 Zip. Generally, when a modder releases something he or she will compress it into .zip, .rar, .7z or possibly .ace format. If you download from the Japanese community the format might be .lzh. I am pretty sure that 7zip can open all of those, but if not you can always google the file extension and find out what opens it.
The reason for zipping is to keep all files together and importantly to save space. My largest mod is over 900mb when uncompressed and is around 300mb when compressed.
Edit: If I am misunderstanding and you are opening compressed files to find other files with extensions of .bsa, .esm or .esp, those just go in your Data directory as-is.