hmm what a weird situation
I'm not sure if I got what you mean exactly... so you have an exe and a dll in a zip file. They can run the exe without extracting the zip file, correct?

now what does your exe do? tries to write to what file?
when you run it from winzip, if you check in the directory that the app is running, does VB detect that the dll file is also there?

you said So when they get to the point where it writes to the file it fails and gives an error., I dont understand what you're writing on... is it just a data file? if so, you can just add a simple option to yuor program: use a try catch block and when it fails to write, just let them know and then prompt a file save dialog to let them choose a different location

but, eeh explain a bit more, in a shorter response perhaps, because I dont know what you're doing