You can download either one. The first you mention comes as an installer and will put everything where it needs to be, or you can choose options from the installer to put it where you want it to go.
The .zip file comes without an installer so you need to tell it where everything goes and it doesn’t create shortcuts for you. People who already have Blender installed (and therefor already have most of the files that it runs with) like the .zip because they can just copy the file(s) they need and not be bothered with the rest.
But just to be sure of everything before I download Blender, these steps will work (?)
Get the version that comes with the installer and let it do what is has to do. When that is done, click on the shortcut and Blender will activate itself and then I can go to work.