The Zip file you extract as you would normally say to C:\ so you have a path structure of C:\xampp which is what I use.
The 7Zip is a self extracting (sfx) exe archive with similar placement control.
7Zip will handle zip rar etc. also and if you have the program you can open an archive, even a sfx exe archive, and extract the files in bulk or individually to a directory of your choice.
So in short either of the archived files will perform much the same.
The beauty of choice is that if you don't like one method just delete the installation directory, download the next method and see if that one is more to your liking.
Remember when it come time to upgrade to a new version you will have to use the same installation method you used to install the original version. Makes sense, eh?
Use the forums here if you have any issues, after reading all the above links first.
XAMPP has been designed to work "out-of-the-box" for most people.
Most phpbb boards will install without much hassle or programming skills. All you need to do is follow the boards installation instruction, which are usually very good, and your up and running.