If you have a self-extracting zip file (an exe file) then you can simply run unzip on the exe file, and the zip program will ignore the exe header, and unzip the file as if the exe portion of the file didn't exist.
I am less than certain that OS X performs this trick out of the box. I think you may need a free third party utility like Stuffit Expander. Microsoft is notorious for formatting their large .doc files as self-extracting (nominally Windows-only) archives. PDFs gained popularity only because people were too computer illiterate to deal with encapsulated (compressed) postscript. Documents as platform-specific applications are the result of the same fundamentally broken mentality. Sadly, both are are here to stay.
