Do i have to download tutorials for game maker 8 into the game maker 8 file, or just Unzip them?

Ok, when i download a tutorial in Game Maker 8 from YoYo Games, it downloads to the folder i but it in (Doents) but when i click on it, an error message comes up. do i have to put it in a special folder in which Game Maker 8 was downloaded to? Or do i have to unzip it or something? Thanks For the Help.