Doing so will have unpredictable effects on your game. Note: By default, Windows will open zip files just like file folders, displaying the contents directly in the explorer window. In Windows, this can be performed by right-clicking on the file and using the Open With. Note: With your Internet Browser you're able to open the zip file directly and extract the content on your HDD by doing so you can skip step 4.
See Patch Level Compatibility for details.