It has nothing to do with winzip - don't even need it.

Read the instruction pdf again:

The self extractor executables each automatically produce a complete floppy disk ready to load filled with composer/panel memory versions of the styles. They are downloaded from sections with Floppy Disk in the title.

The CST files are are single custom versions of the styles, the instructions describe how to copy these to a floppy disk, load them via a different menu, and then save if you wish to sd. The individual versions are downloaded from sections with Custom Style in the title.