What is winzip? it wont let me do anything unless i do it: s?

i wanted to download auto CAD but when i did it told me to unzip. This is what it told me> to unzip all files in autoCAD trial. exe to the specified folder press the unzip on. but whats that gonna do is it bad my friend thinks it erases all my files. should i do it or is it bad I NEED HELP!