I wouldn't want to download a zip file straight from a google search - I'd need to know more about it first.
If you think of it from the user's perspective, it makes sense. AdWords users trust that when they click on an ad they'll be taken to a site where they can make an informed decision as to whether to do business with an advertiser or not.
Being taken directly to download would be a unsettling experience, and would likely make some users think twice about clicking on any AdWords ad in the future.