Amiga filesystems can handle characters which are not allowed in Windows so when you unpack them on Windows the 'illegal' characters get replaced with 'legal' ones, so the files get renamed and therefore don't work!
For example, both * and \ can appear in amiga filenames but can't under Windows.
There are not THAT many games that suffer from this but it's always best to unpack the little zips on the amiga just to be safe.