Browsers such as Chrome have a built-in malware download scanner which help detect malware in most files that you download.
ZIP Files themselves normally add in a layer of protection from any .exe file from being accidentally used on your computer, as the file itself is encoded in the compression algorithm. The closest thing to a 'ZIP file virus' is a Zip Bomb, but that is only when you extract a petabyte text file from a zip file. Zip Bombs can be stopped on modern hardware and you can just delete the file that is now taking up your entire hard drive.
EXE/MSI/VBS files of any flavor will not run a virus, trojan, etc. until the user manually double clicks the file to run it. As long as you have the latest versions of Firefox, Chrome, Edge, etc. you should be fine.
However, there is only a slight possibility that whatever downloading software that you use, such as ie6, that on download, the code can be executed using an exploit., see Drive By Download.