Welcome Lerebel, we hope you enjoy GEH. It sounds like the kmz file is trying to open in your browser. Have you downloaded and installed Google Earth? If not, go here - http://earth.google.com/ and download, then install.
If you do have GEarth installed, have you tried File-->Open from GEarth?
If it works that way, you will need to tell Windows to use GEarth to open kmz files.