It could be you just double-clicked the file (which leads the file to be extracted to the temporary files- folder and then - when Winzip has closed and the player has stopped using the file - it just gets deleted). You should extract the file through Winzip to the folder of choice (where your music usually is, for example) and that way there'll be no problems. The double-clicking is just for 'preview', it's not for extraction.
BTW, in my experience WinRAR is better than Winzip, since it just handles a lot more file types than Winzip. You should try it out, they're quite similar on the interface side of things (
clickie).
[EDIT] Sorry, didn't see that post ahead of me while posting this... [/EDIT]