dotPeek can be downloaded either as a .msi installer, or as a .zip archive.
Usually, you'd want to use the installer distribution if you're going to use dotPeek on a single machine.
If you'd rather keep all dotPeek files in a single location that you'd share between several machines (for example, a DropBox folder), the zip distribution works best.
In terms of functionality, the only difference between the two distribution options is how you set up Windows Explorer integration. Installer does this for you automatically whereas if you're using the zip distribution, you can enable or disable Windows Explorer integration through dotPeek Options dialog.