Hi Booher,
Zip files are cross platform. Doesn't matter if it's an a PC or a Mac. Either can open or create them. But .exe files are Windows only. An .exe is an application compiled for MS DOS or Windows, as are .com files. They won't work at all on a Mac without running them in a Windows environment such as Virtual PC.
The only exception is if the .exe is a self extracting archive created on a PC. That is, a .zip file converted to an .exe so if the person the compressed files are sent to doesn't have a way to open a .zip file, it will run as a program to do the same thing. These, OS X can open and extract as if it were still a .zip file.
You mention that one of the .zip files extracted its contents as a file named setup.exe. This will not work directly in the Mac OS in any way, as it is a Windows application/program.