Help.... help!!!

My niece is teaching me to play Dungeons and Dragons, so sent me a set of "books" while we were on MSN.
Well, it finally finished downloading and it is in the "C: documents and settings" bit when I searched for it. Well, I tried to open it, and when I did, all it did was go to another window that had "Type... PDF" then "Has a pass... no" and "method... deflated".
The download is a 25286 kb compressed zip file thing.
Can anyone tell me how to open this up by myself?? The IT dude who built our computer just told me to call him and he'd come around and open it up for me, but they're in the middle of shifting their Internet Cafe to new premises and I feel like a stinker bugging him to do this for me.
The system I am using is Windows XP Pro, I know that is one thing that others should know if they are to help me.
I don't understand why I can't see/open this thing... when my niece and I send jpegs to each other it opens up a real treat. She's also sent me other D&D stuff like player sheets and they are just open and there, ready to print off.
Is it because she sent it to me through MSN?? Can't be... all the other stuff I can access.
Please help me.... how do I open it??? Am I supposed to move it somewhere else?? How do I move it if I have to?? This is driving me nuts... it's also really embarrassing as well.

The file that was sent to you? Does it end in zip or pdf?

Well, the flatmate got the IT dude to come over anyway, as he was having trouble retrieving something from a floppy.
Turns out that it was PDF, but the IT dude said that out system wasn't "seeing" it. So he did some stuff really quickly that I couldn't keep up with (as usual) and fixed it so it would open up.
He said to keep a lookout for the little "icon" that shows up next to a download to see which application to use to open it up.
I THINK I understands what he means, for the most part. IT dude said that it happens every now and then with Internet Explorer, as there is always a lot of foul things people put on IE to try to snoop or take over other peoples' computers.
So I thought "Well, THAT'S bloody marvellous." What ELSE is there to go on the Internet with???
Thank you so much for offering your help, Grinler. I asked my flatmate to wait so I could try to fix it up myself but he was in a rush.

You can try Mozilla Firefox as a Internet Explorer replacement. Some people live by it. I use it and think its great. I never use IE anymore.