Well... what exactly are you doing? After downloading the zip file, the first step is to unzip the file using WinZip (available at
www.winzip.com ). Once it's unzipped, the .scn file should go in your scenarios folder under your default Age of Empires 2 folder. If you installed to the default, it's c:\program files\microsoft games\age of empires 2\scenarosOnce the file is there, start AoK, go to single player, custom scenarios and you'll find the file. If you are downloading campaigns, the directions are the same except the .cpn file goes in the campaigns folder and you hit the custom campaigns button in AoK.
Hope that helps!