Windows has had built-in unzipping capability since XP.
If you double-click the zip file, Windows will show you the files inside, though they won't actually be unzipped yet. However if you drag from that window to somewhere else, like the game folder, the files seem to automatically unzip and copy the unzipped file to where you dragged it.
That's probably the quickest way to do it, though it isn't the only way to unzip files.
If you've installed 3rd party software, like 7-zip or WinRAR, double-clicking may open the zip file with that software. I think you can still just drag the files where you want them the same way you would with Windows built-in unzipper.
Alternatively you can right-click the zip file and choose one of the options to "Extract"
The default is usually to extract to the same location as the zip file.