Asked and answered.
Winzip was able to extract files from the ProWin32.exe file.
As you say, WinZip or similar programs provide an easy way to extract the files. In case some of you do not have WinZip for extracting the files, you can also execute the file with the switches for extraction without using any other program following the Read Me on the file download pages.
Here is the command: prowin32.exe /s /e /f <destination path>. I frequently extract the files, so I usually aim for a dirctory that includes the version information using a command such as prowin32.exe /s /e /f c:\intel\15.4.1. Using WinZip is a nice alternative if you don't like the command line.