To simplify the download process, sets of audio files are packed into a single ZIP archive. This way you only have to download one file instead of 10. You need to be able to open, or "unzip", the archive in order to access the audio mp3 files.
Since OSX and iOS don't come with software to unzip ZIP archives, you need to download additional software to unzip them.
For OSX (Mac desktop/laptop) use Keka.
For iOS (iPhone, iPad, iPod) use iZip.
For Android, use your built in file manager.