Mac applications are actually folders (as you have discovered by unzipping it on Windows). And the __MACOSX folder contains filesystem metadata for the files in the zip.

To move it to the Mac, don't unzip it on your windows machine. Just copy the ZIP to a flash drive, then unzip it on the Mac. Unzipping is built into a Mac, just double click it. Out should pop the Ping Test application, as a single file.

To "properly" install it, drag the app to the Applications folder on the Mac.