I tried to play around with UAC. I disabled it by doing:
Control Panel/User Accounts
and then "Turn User Account Control on or off". I change all the permissions of the folder. I tried to rename the file. It still didn't work. It was working with an mpeg file though.
The only way I could eventually copy this zip file was to go on XP, and copy the zip file in a shared folder of Vista, and after that, copy it in the target Vista folder.