I'm not really sure if you mean you actually cannot unzip them, or if you have unzipped them but don't know what to do with the resulting folder, because it contains no icons. Just to be clear:
You downloaded icon files, with the *.zip extension, used Winzip to unzip the file, Winzip created a folder with just one icon in it (plus maybe a Read Me file), but basically you have no icons displaying yet? Does the file it created have the file extension *.icl ("Icon Library")? If so, you're almost there!
If the above happened, your file DID unzip, you're done unzipping! Now you just have to open the Icon Library(*.icl) file and export the icons inside as .ico (icon) files. I use Axialis Icon Workshop for opening icon libraries, but there are tons of freebie "icon editor" software out there.
Since Axialis has a free 30-day trial, you might as well try that..plus it's the only one I use so it's the only one I can explain!
http://axialis.com/iconworkshop/
I like to make a new folder for each icon library file I open before I start opening them..create a new folder on your Desktop (or wherever).
Open Icon Workshop, click File > Open. Browse to the icon library file, Select it. (When highlighted, you'll see its icons appear on the preview window.) Click Open.
On toolbar: Icon Library > Select All > Icon Library(again) > "Export As ICO (Windows Icons) > Select the folder to save them in > Click OK. There's a progress bar that shoots by (it's fast) to show you it's done. Go to folder you saved them in, they should all be there. They're now in Windows .ico format, and are viewable & usable like any of your other icons.
On the other hand..if I got this wrong and they're zip files (not Mac) that won't unzip with Winzip..,then BillC's advice is all you can really do, keep trying various unzip programs. At least you'll know an Icon Library if you ever run into it. I had no idea what they were when I first encountered one, just baffled me.