I didn't see anything called ZIP file but I did extract something
If you were able to extract the files, you should see a folder called "Creature Street" where you extracted them to, then a file called "Criminal Intent" inside that folder. If Windows is saying it protected your computer, that probably means you have security settings not allowing you to launch executables from unknown sources. You should maybe be able to click "Run anyway" on that screen, or follow the directions in this video to turn it off: https://www.youtube.com/watch?v=1gIqcSKOZTs
I don't know if I recommend that. Maybe turn it back on after you play our game.