Shareaza

Why does every zip file I have downloaded contain only one file: setup.exe?

Most likely this is spam and has some sort of malware (check the file on http://virusscan.jotti.org/en and make sure you have an antivirus, Avast has a free version for example). You can also click with the right button of your mouse on te file from within Shareaza and then check its bitprint on Bitzi (Web Services > See Bitzi ticket) ZIP archives are used a lot by spammers, installing cyko's filter to rid of most them would be a good idea IMHO.

I recommend using http://www.virustotal.com and http://www.sunbeltsecurity.com/SearchCW ... ports.aspx for scanning files for malware, as they offer more comprehensive details