Right-click the zip file and choose Open With > "Compressed (zipped) Folders." Click "extract files" (more than once if necessary) and you will get a new folder with the uncompressed files. Put that new folder where you want it, and use the iTunes command File > Add Folder to Library.
Note that this all only works if the files within the folder are in an iPod-compatible format, e.g. MP3.
When done, you can delete the original zipped folder.