The reason it's in a zip is so you never see that it's an .exe. Otherwise the email client would show the file extension and warn the user. Microsoft in their

The reason it's in a zip is so you never see that it's an .exe. Otherwise the email client would show the file extension and warn the user. Microsoft in their wisdom have decided Windows users never need to see file extensions by default, so after unzipping the user would just double click an innocuous file with an MS Word icon. And maybe press OK on a prompt they've been trained to press OK on.