Sorry to correct you Jeff, but there are a number of ways to disable this.
The only reason that you'd want to follow Jeff's advise is if you do intend
to use Windows's own .zip support. I'd assume since you dislike one of the
best features of this, that you probably already use a third-party program
to handle .zip files. If you don't, then I'd recommend that you do, as this
support in Windows is very limited, not least in terms of the lack of
support for any other type of compressed file (.cab support is separate and
even more limited). There are many programs, notably WinRAR or WinZip which
have far better support for not just .zip files but other popular compressed
files such as .rar and .cab files too. Anyway to disable .zip support in
Windows Explorer you'll have to enter the following command, at the command
line or via Start Menu > Run.
regsvr32 /u %windir%\system32\zipfldr.dll
Once you've done this you'll have to (re-)associate a program to open these
files, even if you were already using a different one. To re-enable it, just
use the same command, minus the /u, unregister switch:
regsvr32 %windir%\system32\zipfldr.dll
Nik