.ZIP is not a video clip. It is a compressed folder that may *contain* a video clip. You must unzip the file, once downloaded, to see what is inside.
Step one is to download the file. Left-clicking on the link to the file should produce a window asking where you want to save the ZIP file (Or a Window showing you where it is being saved). Note where it is being save/where you saved it.
Go to where it is on your hard drive. In Windows XP (If you have a different operating system please tell me) right-click on the ZIP file and find "Extract All". Click that and follow the instructions. The files inside the ZIP will then appear.