Did you actually unzip the file? If not you can unzip the pics on your computer and just drag over pics to your downloads folder or create a file on your sd card and name it wallpaper...reboot the phone if you don't see them...after reboot pics should show up when you choose wallpapers/gallery then just size them to your liking.
Im running root explorer and it says extrect all.....when I hold down onto the file..... does that mean all the files on the page or under that particular folder?