Cannot remember exactly how SH3d does this off hand (whether it reads files with zip extensions), but did you unzip the files?

If all else fails: take your downloaded files, unzip them (right click - extract) - you should get a sh3f file. Now, open SH3d and select Furniture > Import Furniture Library and select the file you have extracted. After a bit, you should see the library items amongst the furniture items.

ok

PS - this operation will place the library in the directory SH3d uses (Windows: users\user\AppData etc etc etc). And then the library will be read every time you start SH3d.