When you bulk download a collection of images they are downloaded as a ZIP folder to your local machine.
You can open a ZIP folder using the built in function - 'Extract' .
To unzip the folder of images, click the Zip folder, then click on 'Extract all Files' from the menu.
When you click 'Extract all Files', just follow the on-screen instructions. Your computer will generate a new folder with all file ready for use.
Note that icons may appear differently to the example screen-shot shown above.