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A *.z01 file is part of a multi-part ZIP archive. This means that a big file (or several files) were zipped into several smaller files instead of just one.
What you need to do is download all of the related files. They will all have the same filename, with the extensions *.z01, *.z02, etc, and a *.zip file. You can tell which is the last of the numbered files because it will almost always be smaller than the others. So if you download the *.zip and *.z01 and *.z02 files, and they are all 50MB in size, and then you download the *.z03 file and it is 29MB, then you know that you have them all.
Once you have all of the related files, put them into the same folder and then proceed to unzip the one that ends in *.zip. It should automatically assemble the unzipped files using all of the parts.
