You mean you didn't extract contents of ZIP file into some other folder, but simply went into ZIP file and tried to run setup from there? Because if that's the case it has no right to work correctly. First you should extract files from ZIP into some folder on your PC and then proceed with installation.
BTW, zip is not a folder, it's compressed file archive containing (in Creo's case) hundreds of files, all of which are required to install Creo correctly - when you try to run setup directly from zip archive, Windows unpacks only selected file and installation cannot continue, because installer won't see other files left in zip file; that's why you need to unzip it first.