Shortly after the release of the most recent MSF process guidance (Now Available: MSF Process Guidance Updates (Rev 1)), people started reporting problems when extracting from the MSF for CMMI Process Improvement process guidance ZIP file on computers that don't have WinZip installed.
After hacking at this problem, I think I found the cause, and more importantly a simple workaround. The issue appears to lie in the Windows Extraction Wizard. When you extract a file with a long path into a location with a long path, the combined path length seems to exceed the capability of the Extraction Wizard. Unfortunately, instead of an informative error message, you are prompted for a password.
As a simple workaround, try the following when the Extraction Wizard prompts you for a location to place the extracted files. Instead of choosing a location with a long path (e.g., the Desktop or My Documents), extract the files to the root of a drive, such as C:\.
The extracted files are placed in a folder named, "MSF for CMMI Process Improvement - August 2006." After you extract all of the files, you can simply move them to your preferred location.