wordpress installation no zip file in download
The version of CiviCRM for Wordpress that can be downloaded here: https://civicrm.org/download/list is a .zip file - if your initial download isn't a zip, check that you've downloaded the right version (e.g. the Drupal version is .tar.gz file). 

That .zip file is what Wordpress is looking for - however, it's probably wiser to follow the instructions at http://wiki.civicrm.org/confluence/display/CRMDOC/Installing+CiviCRM+for+WordPress as @petednz-fuzion mentions. 

The instructions recommend uploading the CiviCRM .zip to your WordPress plugin folder and then extracting the files - Wordpress' internal plugin installation process can manage this, but there are additional steps that WordPress will miss. (This is why CiviCRM isn't available in the Wordpress plugins listing - the installation isn't completely automatic)