What Antivirus program are you running? There is often a protective function in them, to prevent downloading of compressed, and therefore unknown, files.
Also, reference Mikes comment. Browsers can have options to do the same. Have you customised your default browser in any way?
Hi
If that does't do it, you can also try using a different browser and see if the same thing happens.
Try and download a zip file using Windows Edge, which you already have.
If that works then maybe you could try uninstalling and reinstalling Chrome.
Mike