First, have a look at the detailed steps to check your Java version and install it.
Download the ZIP archive and unzip it using your favorite tool.
Do not use the Windows built-in ZIP functionality (aka "zipfldr.dll" or "Compressed Folders Module"), it reports incorrect uncompressed size. Recommended: 7-Zip.
On Windows in general, and especially on Windows 7 or later versions, it is highly recommended to install your Nuxeo application at the root of a disk (
C:\Nuxeo for instance), because of rights issues, limitations on paths length, 32/64 bits conflicts,...