You're talking about the ~4.5 meg zip file, right? It appears to be a standard single zipfile to me. I thought it was the roms, and z01-z06 were the chd. Is that not right?
No, the .z0X files need a .zip header file. Look at the list of zip where ever you got them from

The last file in the list is the zip (not .z06!)
kinst.z01: 15728640 bytes part 1 of 7
kinst.z02: 15728640 bytes part 2 of 7
kinst.z03: 15728640 bytes part 3 of 7
kinst.z04: 15728640 bytes part 4 of 7
kinst.z05: 15728640 bytes part 5 of 7
kinst.z06: 15728640 bytes part 6 of 7
kinst.zip: 1248528 bytes part 7 of 7
The roms zip is about 4.5 megs
Archive status: size of archive: 4358.93 kB
u10-l1: b6cc155f 524288 In kinst.zip
u11-l1: 0b5e05df 524288 In kinst.zip
u12-l1: d05ce6ad 524288 In kinst.zip
u13-l1: 7d0954ea 524288 In kinst.zip
u33-l1: 8bbe4f0c 524288 In kinst.zip
u34-l1: b2e73603 524288 In kinst.zip
u35-l1: 0aaef4fc 524288 In kinst.zip
u36-l1: 0577bb60 524288 In kinst.zip
u98-l14: afedb75f 524288 In kinst.zip