it's very simple. for Windows there are many ways to open doom mods either pk3 or wads.
One of them is to simply drag the furdoom pk3 furdoom_v0.1.1.pk3 to the Zandronum executable zandronum.exe (with GZDoom you can play it the same way except you can't play deathmatch optimally there)
Or you can also associate the extension .pk3 extension to Zandronum, so every time you download a doom mod with that file type just hit open and it will automatically launch Zandronum or GZDoom with the mod already linked.
Usually Zandronum associates those extensions by default in its installation (which in portable mode it doesn't do for obvious reasons).
I hope it has helped you
