You have already unzipped the file CONNEC20.ZIP, so to finish the 
installation of CONNECT 2.0 you must do the following -

WINDOWS 3.1 -
  1) Start Windows 3.1 (usually by typing WIN at the DOS prompt).
  2) Activate the "Program manager" window and click on the 'File' menu at
     the top left of the window.  
  3) Click on 'Run' and use 'Browse' to find SETUP.EXE in the directory
     where you unzipped CONNEC20.ZIP.
  4) When you 'Run' SETUP.EXE the game will be installed for you.   

WINDOWS 95 -
  1) Start Windows 95
  2) Click on START at the bottom left of the screen
  3) Click on 'Run' and use 'Browse' to find SETUP.EXE in the directory
     where you unzipped CONNEC20.ZIP.
  4) When you 'Run' SETUP.EXE the game will be installed for you.
  5) Monty's Games like to run in the full screen - if the Task Bar is in the
     way when you are playing do this -
       a) While in the Windows 95 desktop click the Start button at the bottom
          left corner of the screen.
       b) Go to Settings and click Taskbar.
       c) Put a check mark in "Auto Hide".
       d) Uncheck "Always on Top" - this is optional.
       e) The other two options don't matter.
  6) If you want to create a Shortcut to Monty's Games do this -
     a) Close the Monty's Games folder by clicking on the 'X' - upper right.
     b) Use the right mouse button to click START and click Open.
     c) Double click the Programs icon.
     d) Right click the folder "Monty's Games for Windows"
     e) Click Create Shortcut.
     d) Use the left button to drag the new "Shortcut to Monty's Games"
        folder to the desktop and drop it. 

This game will be placed in a program group called "Monty's Games for Windows".

A complete listing of the latest versions of Monty's Games can be found on
the internet at -

         WINDOWS -  http://users.aol.com/montyg/homepage/mgames2.html
         DOS     -  http://users.aol.com/montyg/homepage/mgames.html

For 'online help' while playing CONNECT just hit the F1 function key.