It's a problem that SP2 seems to be causing. The files are being renamed when downloaded.
Step 1. File extension must not be hidden. If you're unsure what that means, open Control Panel > Folder Options > View tab > "Hide extensions for known file types" should be un-checked.
Step 2. Right-click the file and select Rename. Change the zip part of the name to wba. Example skin1.zip = skin1.wba
If you get a warning about changing the extention, click OK
Step 3. Double-click the renamed file.
From what others have said, after a while, Windows will stop renaming the files when you download them.