Hi oilers27 and welcome to the forum.
First, what file are you attempting to download, and from which server?
Are you connected via dialup or a faster method?
Are you using a download manager such as GetRight? I’ve used GetRight to download Ship Simulator 2008 and all updates over a 52kbps dialup with never a problem.
If you are downloading the game or updates (patches) and the file ends in .exe, you do not unzip it. You execute it by double clicking it.
If you are downloading a mission file that ends in .zip, and you are running an up to date version of XP, you do not need winzip. You can right-click the file and select extract.
DJM will be along to give you more help.
Marty