most of the files i see are in zip format. should i unzip them first? then where do yuo put them?

Yes, you do have to unzip them before you can use them.

If you right click on the zip file, you can use the "Extract all" option, which will let you select a location of your choosing to send the unzipped folder to. You might want to already have a new folder created somewhere (titled, let's say, "User Scenarios") to send them to.

Then it's only a matter of using the correct battleset to run the scenario with.