Maybe it actually gets unzipped and then put to a specific directory? some zipped files carry specific "instructions" on where the unzipped files should be put and while unzipping them the program puts them there

switch to winzip "classic" if you are using winzip wizard and in the options/configuration, check the "folders" tab and in the "exrack folder section check "open archive folder"

re launch win zip and then look in the far right of the list of files to be extracted if there is any directory names under the "path" column. if there are, extract the files and go to these directories to find the files you want