Try it from the right-click dropdown menu. You can unzip it from there, or if you don't have admin privileges you can ask for the password when it prompts you then.
Additionally when you do actually unzip it, there's a chance that it won't work on your version of MacOS. due to Apple dropping support for 32-bit apps and newer macs using Apple Silicon chips that don't play well with many programs at the moment (My last mac was back in 2018 so things might have changed since then but I'm not sure if any progress has been made for the whole "games on macs" situation)