Hi Shawn, thanks for the answer.
Actually, Winrar was installed on my PC when I purchased it and I 've uninstalled winrar.
I use to handle all my files with Total Commander(TC), a File Manager very powerful, with dozens of built-in functions (batch rename, handling lots of archives, FTP, compare files, split or join files, and son on). This tool is a shareware but the only "limitation" is a nag screen at start, you have full access to all the commands, even if you don't buy it.
Total Commander - home
TC doesn't interfer in the zip handling as it has it's own dll to handle it.
But sometimes, if I only have to extract a file from a zip archive, I would like to use the built-in explorer function and I can't.
I will go through the steps again.
Well, the problem is solved.

I choose "open with.." in the context menu of a zip file in explorer and I had only Explorer as choice, so I check the box "always open" (don't know the right text in English), I clicked ok and I can now open my zip with Explorer !
Anyway, thanks for helping me.
I will open a new thread about the "save as.." option in IE which gives always .mht filetype as first choice, which is for me painful. I would like to have web page (as in IE6) as default but I think it's not possible, except with a third party tool.