Windows has many annoying defaults and you're seeing them in action. Your zip file is in one of the many temporary folders, which are hidden by default. Data in these folders can be very complex and inexperienced users could damage their system quite badly if they fiddled with something. To view them, you can either go through command prompt or click Start -> Computer -> Organize -> Folder and search options -> View -> Hidden files and folders. Select the second option (the one that lets you view them). All hidden folders can now be seen, although they will appear faded out just to signify they once were hidden. Also, uncheck the box that says, "Hide extensions for known file types", so you can see the file as name.zip instead of just name.

Your zip file can stay where it is. When you extract the content, specify the new path you want. After doing so, you may have to press F5 (or fn + F5) if you do not see the content. If you don't remember where you extracted the content, get the zip file and extract it again.