Dear Forum,
David Hobby writes:

I also had this problem for a while. My solution was to go into
Netscape Navigator at
Edit/Preferences/Navigator/Applications
and add a New Type "zoo"
I wrote zoo under MimeType and unzoo.exe under HandledBy and ticked the
box Ask Me Before Opening Downloaded Files Of This Type.
I have had no further trouble.
- John D. Dixon

Funny, but it doesn't work for me. I just tried a large
number of different variations on this approach, none of which
worked. I even tried lying, and put in that .zoo files were
images, or applications, and that they were handled by various
programs. Nothing worked. Maybe we have slightly different versions
of Netscape, or something.

Yes, you have version 4.06, and this is a rather old one.
That's almost certainly the reason for your problem.
Upgrade to 4.72 (it's the latest one, I suppose).
Also, there might be some applications on your computer that
have its own idea about *.zoo files (for instance, WinZip can unpack
.zoo files. If such an application was installed after Netscape,
it's possible that it altered the registry in order to take the
processing of .zoo files over.)
Switching to IE5 should also fixe the problem. It's in fact
rather hard nowadays not to have IE installed on your MS Windows,
as it became *the* browser for this platform.

HTH,
Dmitrii Pasechnik