I think what you are referring to as a "Zip" drive is actually a USB flash drive. Many years ago there actually was a product called a Zip Drive. If they were still around there is a chance they might work with the 15000, but it would be a stretch. What you're doing seems to be working, since you can see the designs on the machine. What you could do to avoid scary messages is:
1. Unzip the files into a new folder.
2. Select all files in the new folder (CTRL-A). Then copy them (CTRL-C).
3. Open the USB flash drive and then the EMB folder.
4. Create a new folder in the USB drive, or open an existing one.
5. Paste in the copied files (CTRL-V).