If the files inside the zip file are .osk there are a few different ways you can import them. The easiest way would be to simply extract all of the files directly into your osu!\Songs folder and then press F5 on the song selection screen. The default osu! installation path is C:\Users\<Username>\AppData\Local\osu!.
Another possible way to import these files would be to extract them to a different location on your computer and double click them to open with osu! or drag them into the osu! window.
If the files inside the zip are folders, you can also extract them into your osu!\Songs folder.