I don't think that's the problem... I think it really means that Windows doesn't recognize the fonts in that folder as usable files. When you actually get the file open, you're probably going to have missing fonts and will need to do substitution.
You may be better off, in this case, trying to find someone with a Mac to open this. Or ask the designer to save it as Illustrator eps and outline fonts, or save as a pdf, if the fonts need to stay the same.