Well, this is a puzzle! Sounds like you are right about the zip files being the problem. I guess I would try something besides the "built in" Windows unzip utility. I recommend 7-zip. It's free (always a good thing) and it works very well. It will also unzip .rar files - which Windows won't.
http://www.7-zip.org/
Try unzipping the XR-2 - into an empty folder. Then open that folder and make sure that you see folders like "modules", "config", etc. Then copy/paste ALL the files at once into the Orbiter "root" folder (the one that has orbiter.exe in it)
I also can't seem to get screenshots to paste into Paint. I use "gimp", a photo editor kind of like Photoshop. Once I've hit the "print Scrn" key I close Orbiter, open Gimp, and hit the "File" button at the top. When the menu opens, select "acquire image", then "from clipboard". You can then save the file as a jpeg (or any other format - but jpeg is probably best for posting here).
http://www.gimp.org/downloads/