What does this mean? How do I make it one?
What I suspect it means is that the version you've got is not the right one for XP, or that the download got corrupted somehow.
First checks would be to make sure that it's the correct and most up to date version of ZA, and if it is, then I'd be tempted to try downloading it again to make sure that there's no corruption in the file.
If you're using XP home, ignore this, if XP Pro, make sure that you have administrator rights for the sign on you are using, if you don't that will also upset the install.