On your web p when I try to download this game, I get an html document and not a regular zip file. I also tried right clicking and selecting "save target as" but this doesn't give me anything like a game.
The link in the games database links to FileFront, the official download location of the game. You have to have cookies enabled to be able to start the download there.
I had some trouble myself downloading stuff from there, so try this link instead: http://lucasfan.zak2project.de/fanadv_zak2.exe
I found it using http://www.filemirrors.com/ , very useful if you know the name of the file you're looking for.