Most likely your computer does not know what an Alice world file is, with
extention .a2w. If the Alice world you download is called story.a2w, your
computer may think it is a .zip file and rename it to story.zip or
DO NOT unpack it or extract files, but instead rename it back to story.a2w.
If you can't figure out how to rename it, you don't have to. Instead when you are loading the file into Alice, you can load it in as a .zip file if you select the option to load "ALL FILES", and not just ".a2w files".
Also remember that you cannot click on the .a2w file to get it to run. You must start Alice, then File, open file and load the file into Alice.