Unzip files within the SQL Server
Generally, running compression/decompression on the SQL Server itself is a bad idea. 

SQL Server is licensed by the CPU core, so it's the most expensive place in the shop to do CPU-intensive things like compression &amp; decompression. Instead, consider offloading that to an application server.

Now, having said that: SQL Server doesn't support the installation of programs and doesn't have a way to bundle 3rd party apps with the install. You'll want to manage the installation of other apps with a software deployment product or an installer script.