Yes, that was step 2 in the installation instructions in the document that you linked to in your first post.
You right-click the zip file it in Windows Explorer, pick Properties and, in the dialog that then pops up, you can unblock the file. Note that you do this before unzipping.
You can’t open *.gha files in Rhino. You put those in the correct folder and Grasshopper will find them there. Note that you find the correct folder by going into Grasshopper and picking File > Special Folders > Components Folder:
As WIM wrote, you cannot open gha files in Rhino. You seemed to have gha files in right folder. You will see Koala tab in Grasshopper toolbar just as I can see here.