Did you try clicking the preview button after publishing (instead of download)?
That should be sufficient for an HTML preview of the course.
You would need to extract the zip file contents to a folder, and then click on the index.html if you wanted to run it locally. Be aware that some browsers will limit what you can do if you run from your local filesystem. Ideally you would want to upload it to a server in order to test it out.
If you published using the full HTML name, it would be whatever the first page of the course is (e.g., Home.html). Otherwise, you can open pretty much any of them and use the course navigation to go to the home page.