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Once you receive your .zip file, you need to move it to another location from your downloads folder. Usually Documents or Program File is fine. When you've moved it, right-click the file and select <Extract All...>. Typically, this brings up a dialog that asks where you want the new folder to go, and the default is in the same location as your .zip file. When you've done this, simply open up your newly extracted folder, and run the Asagao Academy application.

If you're still having issues with your .zip file, try downloading WinRAR or 7Zip. These programs are designed to extract from various types of file, including .zip and .rar files. Just follow an online tutorial for extracting files with one of these programs, and you should be well on your way.

Don't keep your Asagao Academy folder inside your Program Files folder! If you save and come back, your save files will be wiped. Any other location should be fine.

I moved the .zip file into my Documents and when I try to do the <Extract All...> it says that the compressed file is empty?? In this case should I consider getting WinRAR or something to help out? I'm not sure if it would help with this or not...

Yes, I think you should consider a decompression program. Personally, I prefer 7Zip but WinRAR should work just as well. If you still run into this issue, something may be wrong with the download, maybe your internet is allocating space for the file, and then assuming it's filled?