Part of Windows NTFS is to support multiple stream for a single file. Most applications only access the main stream and this is what's normally readable information.
Multiple streams in a file is also being used by Internet Explorer to tag files download from the internet. The additional information, among other things, saves the zone information about the file. This is mainly used for security purposes like warn a user that certain files was coming from an untrusted sources. Unfortunately this also introduces complication to handling files from the internet specially if the source is trusted.
There is a tool from Technet which can remove the streams added by Internet Explorer. The first time I used the application I am seeing "Error deleting :Zone.Identifier access is denied" when operating on files that was extracted from a zip file. I was expecting that it should be able to handle those files as well. It seems like this might a bug of the streams.exe application.
Anyway, as a workaround, instead of extracting the files and removing the streams aside from the main I run the program on the zip file itself. Lesson learned, run the application against the file that was downloaded from the net instead of files as by product of the downloaded information.