The zip file should be uploaded to your webserver and unzipped, or you can unzip the file on your computer and then upload the extracted files and folder to your webserver.

See:

Installing Joomla Part I: http://www.iteachme.com/joomla-courses/joomla-101-getting-started/install-joomla/1019-joomlas-standard-installation-package-part-1

and

Installing Joomla Part II: http://www.iteachme.com/joomla-courses/joomla-101-getting-started/install-joomla/1066-joomlas-standard-installation-package-part-2

for details on how to do this.

If you have a typical webhosting account, you can use an auto-installer that will do the installation for you. See Fantastico auto-installer for more information about this: http://www.iteachme.com/joomla-courses/joomla-101-getting-started/install-joomla/1001-fantastico-auto-installer