To unzip it, right click the zipped file and then select extract all. If you need something of higher caliber to extract it fetch 7-zip. You shouldn't really have to worry about extracting the files though. They should work as is if my memory serves.
http://www.7-zip.org/
If NO$GBA isn't working with the game, give DeSmuME a shot. Chances are it may not be compatible with NO$GBA, although I've got no idea which game you describe as being the problem child let alone if NO$GBA actually has problems running/loading the game. Don't expect perfection from DeSmuME though in terms of playing games, even though it looks to be getting closer.
http://desmume.org/