Both the .zip and the .exe will usually contain within it the same module.
The .exe can be run by double clicking it (Windows OS only), and it will run as a self contained program that places the e-Sword file it contains to the correct folder on your system.
However for resources on an Apple computer using e-Sword X, this is not possible to run the .exe, so module makers often put the file into a .zip file using something like 7-zip or even the Windows OS can be used to send files to a zip folder. In the case of a .zip file it is up to the user to extract the file and copy it to the correct e-Sword folder.
Sometimes ones upload a file that is as is, and so might have any of the extensions that are used by Apple/Windows. .bbli, .bblx, cmtx, cmti etcetera. Files with the "i" at the end will work on e-Sword 13 and Apple (just to confuse things).