That's because it's not unzipped. That folder only shows font files, and since your font is still zipped, it's not a font file yet.
I'm guessing you have Windows. If so, do this:
Right click on your start button, click "Explore"
Click on your C drive, or whatever you main drive is.. probably C
Click on the Windows directory
Click on the Fonts directory
Find the zip file
double click on it. this should open your unzip program, if you have one. if you don't have one, try to right click on the file and see if there is an option to "extract", "unzip" or something similar.
If this doesn't help, go to www.winzip.com
and download the free version, then go back and double click on the zip file.
Hope this helps!