As TF_Titan mentioned, the standard paradigm for distributing an application in Java is using the Java Archive facilities (ie jars). While a jar and zip file are similiar, there is one important difference -- the manifest. Among other things, the manifest is used to indicate which class is the "main class" in a jar, so when you run "java -jar my.jar" it knows which of possibly several main methods to start.
The zip file thing is kind of gimicky. Instead, read the instructions for the jar command and practice creating a few jars manually, just so that you know how to do it. Then go to the website for your IDE and search for a tutorial on how they "export" or create a jar file. At this point, things should start making sense.
Another popular way for distributing Java apps is Java Web Start (JWS). If you need some kind of method for distributing your jars across a network, this is the way to go. Learn how to create jar files first though... it isn't a replacement for them. HTHs.