a zip file is not an installation file, its a compressed file format usually used to transport installation files (as they can be big and cumbersome) the two main executable files are exe for windows, which launches dos command shell and enters all the codes for u and u get a GUI installation thing. and dmg for mac, which is Disk Image, this is expanded by a disk mounter and put onto ur desktop as a disk, which will contain ur application and any files to go with it.
so to get an exe to dmg, the only known way i can think of is to get into ISO then burn it, then open it on ur mac and convert it to dmg, then ull have to burn it again using disk utility