A Zip drive is something different.
Zipping is the act of packaging a set of files into a single file or archive that is called a zip file. Usually, the files in a zip file are compressed so that they take up less space in storage or take less time to send to someone. There are several popular tools that can be used for zipping files: PKZIP for the DOS operating system, WinZip and NetZIP for Windows, MacZip for Macintosh users, and Zip and UnZip for UNIX systems. The result of zipping is a single file with a ".zip" suffix. After you receive a zip file, you may have to extract and decompress the file by using the same kind of tool that was used to zip the original file.
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Most software that you download from the Internet will arrive as a self-extracting zip file. Typically, by double-clicking on a self-extracting zip file, it will automatically extract, decompress, and store the individual files. One of these files is usually called the "setup.exe" file. Double-clicking on this file will cause the software to be installed as a selectable program in your operating system.