C:\Documents and Settings\gaztheman\My Documents\Unzipped\NYC_HRDL[1]

can anyone tell me what and how to open this file???????

There is an hrdl file suffix, but what you're looking for is something ending filename.zip.
It's probably corrupted during download - I'd reconnect and try it again, or find whichever file it supposedly is at a different location....

Yeah, normally a zip file will only gain the correct ending (.zip) once the file has been fully downloaded. The file seems to be corrupted from what I can see.

what does it say when you double click the file?

also check that file extentions are being shown if on XP, click tools - folder options - view and untick the option for hide extentions for known file types, that will show the extention if it has one