If you installed Sun's latest Java Plug-In (Java 1.3 or Java 1.4), there's a known problem with R5. R5 sees that you're running MSIE and sends down a version of the applet that runs only on MS' JVM (not on the Sun one), but the applet is run in the Sun JVM which doesn't understand how to unpack MS' weird .zip files. To work around this, you'll have to turn off the use of the Sun Java Plug-In by doing this in MSIE:
1) Choose Tools\InternetOptions from the Menu
2) Go to the Advanced tab
3) Scroll down to "Java (Sun)"
4) Uncheck "Use Java 2 1.x for <applet> (requires restart)"
This has been fixed in R6 so that R6 will send down a .jar file to the Sun Java Plug-In.