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You must use 7zip or winrar, the default windows compression and extraction is horrible and only handles default .zips and some odd formats.
You might already have winrar, but if not, 7zip is free! https://www.7-zip.org/download.html
(If you are unsure which to get, the first option under 7-Zip 23.01 (2023-06-20), for windows 64 bit is the latest stable release.)
With an archiver installed, it should add an option to the right click menu, and from there you can "extract to (folder name)"; avoid using "extract here" as it will just dump the folder contents out of the folder. You can also compress your own folders to save space or make backups or share stuff faster.