Corrupted WZs, or you are on Windows 8. And the compatibility with Windows 8 is horrible. Just keep clicking till it opens properly if you are on Windows 8.
Or you could just look at the stickied thread if you are on Windows 8 instead of "just keep clicking": http://royals.ms/forum/showthread.php?t=1098
Yeah, I was aware of this. I know Fraysa. Tried it before. It doesn't always work. Your chances of it working is pretty much the same.