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Vista has a zip/unzip facility built in but there are issues - it takes ages to unzip large archives and sometimes fails. With smaller archives I find the easiest thing is often to double-click the file then copy the revealed contents to a new folder - this works better in most cases than using the 'extract' command.
7zip is incredibly quick even with very large archives, free and utterly trouble free, but if you want to listen to the random ramblings of people who use a different operating system then that is fine as well.
7-zip here as well. Use the Portable version, then if you don't like it you can just delete the directory. Works for zip and rar files (and probably others that I've not needed to use)