This problem is caused by a feature in Windows XP onwards that tries to make viewing files inside ZIP files as easy as possible. However it doesn't let you actually do much with the files inside the ZIP.
To solve this issue you need to right click on the ZIP file you downloaded from us and select "Extract All".
This will popup a box asking where you want to extract the files. The default options are usually fine so just click "Extract".
Now a new folder should popup and if you open the images inside it they should be printable.
Do I have to do this every time I want to print these files?If you go back to your download folder there will now be a folder and a ZIP file with the same names.
To print the images in the future access them through the folder and not through the ZIP file. In fact you can delete the ZIP file to save some space.