SP2 blocks extracting zipped files

From: LEG (LEG_at_discussions.microsoft.com)
Date: 09/16/04 

Date: Thu, 16 Sep 2004 11:03:03 -0700

I requested an email from a site and received zipped files. When trying to
extract these files, Windows security blocked this action. After going into
the properties of the file and checking the unblock option, windows security
continues to block the extraction of these files. What do I need to do to
get access to these files? Any help would be greatly appreciated. Thank you.