Based on the link you provided, there is a way to unblock the files inside the zip collectively if you are using Windows 7. You did not do anything wrong, it's just that these files were marked unsafe and needed to be unblocked prior to use.
For Windows 7,
1. Right click on the zip file
2. Click on 'Properties'
3. Choose 'Unblock' in the 'Attributes' section
4. Extract file
Note: If you unzip the file before unblocking, all files in the extracted folder are flagged as unsafe.