Windows 7 has built-in functionality to handle it.

Right-click the file... there is an option to "Extract All..."

Clicking that will give you a dialog box to indicate what folder you want to extract to.... You might want to create a folder to hold the files beforehand, so you remember where they go...

Once you hit the Extract button, the MIDI files will appear in that designated folder.

(a "zip" file is just a convenient way of packaging a number of files together for "transport" from place to place - also "compressing" the files to a smaller footprint for the transfer...)