Did you unpack the zip archive? You should unpack the entire zip archive to a folder of your liking and there you should find the executables that you can run. If you have done so already, post some more details (Operating system, where did you download from...).
If you run into troubles with Nexuiz, you might also post questions to
www.xonotic.org, since the former Nexuiz community has pretty much left this place and went over there. Nowadays on this forum it's mostly spambots, djsupport and, occasionally, me (though I am only monitoring this forum for new signatures of the Community Statement). If you care to read all of it, you'll find the whole story behind that here:
viewtopic.php?t=6079.