can we back up are a bit and get some previous questions answered.
is it only files on the Desktop effected?
your files in Documents and Pictures (for example) are still fine?
if other folders are also effected, you have some infection and settings change that has caused this.
if it is only those Desktop files, then it is somehow connected to your ZIP activity.
I think it is the later!
have you opened that ZIP file (double click it) and seen that it contains all you files in question?
while in the ZIP archive you should be able to double click each item and if a document, then Word will open, if a music file then your media player will open - does that happen?
if that all happens then these archived files can be unzipped back onto the Desktop.
if they are also just shortcuts in the Zip'd file then you are buggered really.
what happens when you double click one of those shortcuts?
forget System Restore, that won't help you here.
did you check File History - was it turned on?
do you have any backups?
assuming all the above is negative - where did those files that are now shortcuts come from?
looks like they are all audio files?
can you get them back from the original source? - CD, download etc.