If unsure, do not open, save the attachment and use a virus scanner to scan it first. It is better to be safe than sorry. Far too many viruses around. The person who gave you the link may have good intentions, but you never know if it had been infected unknowingly.
Foxit's a good PDF reader; I'd recommend it over Adobe's any day (I for one don't like waiting 15+ seconds for a PDF reader to start up =P). Anyway, scan the zip with an antivirus, one that's capable of scanning inside archives/zip files (or extract the zip to a folder and scan the contents of the folder; you won't get infected simply by extracting the zip). WinZip will give you the exe warning regardless of whether the contents are infected or not.
If you've got problems with the zip, you can grab Foxit's EXE installer and give that a scan/try.
A .exe file can always be unsafe mostly because it is a program which can, if programmed to do so, create files and create registry entries, everything thats needed to install a virus. I find it unnessary to scan EVERYTHING that you download, because if its from a reliable source, then it shouldn't be dangerous. But if its from an unknown source, I usually eather go somewhere else to get it if possible, or just scan it.