I am new to Zope. I tried downloading the latest stable release of Zope for windows and followed the instructions. But nothing seems to happen when I click the download link (the .exe file)

Sounds more like a problem with your computer or your process than a Zope one. All I can say is that the process is: Download the installer executable and execute it. (I believe the Winders steps to that would be: right click on link -> save as..., go to the file and double click.) That's as much help as can be given based on such a report. --jcc