Indeed you should not need to deal with DLLs if you just run a ready precompiled CGE from https://github.com/castle-engine/castle-engine/releases/tag/snapshot . The editor comes packaged with necessary DLLs, and compiling applications from the editor will automatically copy the DLLs alongside your EXE.
As for the “zip” error - when exactly do you see it?
Compiling and running CGE applications should not make any error about “zip”.
It’s possible to see this error, if you try “package” option (from the editor or the build tool). You need to install a “zip” program to make it work, since the default package format on Windows is zip. You can get “zip” e.g. by installing Cygwin. Zip is not related to WinRAR at all.
In any case, you should not need “zip” if you don’t need to execute “package”.