A .epub file is a renamed .zip file, and two of the files in the ZIP are called mimetype and something.opf. So you most likely downloaded an ePub file but your web browser treated it as a .zip and automatically unzipped it. If so, I would expect them to be in a folder, rather than actually on your desktop as files. If so, the easiest thing to do is delete the folder and redownload the .epub file without unzipping it.
The Sony ebook library should have been associated with .epub files in your browser (I think). If you install Adobe Digital Editions it should certainly be associated with .epub files and prevent unzipping on download.