I'm a little confused by the steps you took in your last post. Let me try to help you out.
Dragging "all_supreme_worlds.zip" into "supreme8_install.exe" won't work. The *.dlw files need to be in Supreme's "worlds" folder, which is a folder in the location where you installed Supreme. The *.dlw files won't open on their own or if you drag them onto an *.exe file.
To play the add-on worlds, you need to unzip "all_supreme_worlds.zip", which should contain three folders named "music", "user", and "worlds". Then, move the contents of those three folders ("music", "user", and "worlds") into their corresponding folders in the location where you installed Supreme.