You mean you’re running the game without extracting it, opening the ZIP in the Explorer and then waiting ten minutes for the files after you’ve double-clicked on the EXE? (I’ve never used any such (mis)features myself so it’s kinda “think I’ve read somewhere it’s possible†situation here.)
To extract a ZIP, you generally need some kind of archival software — didn’t XP come with WinRAR installed and set as the default application for ZIP files? Anyway, if you can’t see “extract†or “unpack†some such option in the menu when you right-click on the ZIP, you should be able to just open the ZIP as you’ve done so far, copy the UrbanTerror42 folder, and paste it on your desktop — the game will be unpacked once and for all.
Alternatively, you can install a dedicated archiver —
7-Zip is a good choice.