Did you unpack the zip?
You need to extract the zip file to another location using an archiving tool.When you do, it will no longer be a .zip but a folder containing the project's assets. You can briefly look through the asset folders to make sure they're not empty, if they are you may need to try redownloading.
In that folder will be a file called UndertaleRemake.project, which you can open with Game Maker.