Adobe Acrobat allows you to attach other files to specific locations inside a PDF. In Acrobat 8, this is done via Comments > Comment & Markup Tools > Attach a File as a Comment. This embeds the file within the PDF, so that a recipient of the PDF can save the attachment to their drive. This is really handy for attaching other PDFs, Word, Excel or other file types to a specific location within a PDF.
However, if someone attaches a .zip file to a PDF, and you try to save or open the attachment, you will get the puzzling message "Acrobat cannot save the file attachment "filename.zip" because your PDF file attachment settings do not allow this file type to be saved." For security reasons, Adobe doesn't allow embedded .exe, .zip or .js file types to be saved out of a PDF, since these file types could conceivably harbor a virus. If you receive a file with this kind of attachment, even from a trusted source, there is no way, short of hacking around the Windows registry, to make Acrobat allow you to save or open the embedded file.
When someone tries to attach an .exe, .zip or .js to a PDF, they will receive the warning "The file type you are attaching cannot be opened or saved from Acrobat because of your PDF file attachment settings. If you trust the source of this file, click OK to attach it." So, curiously enough, they are warned, but allowed to continue. Which is odd, since no one downstream receiving the PDF can do anything with the attached files!