is distributed as zip files normally. The official virtualdub
website is quite ancient and probably hasn't been updated in years. The note about zip files may refer to some old issue with sourceforge that is no longer there.
Are you on windows 10?
I've had some issues with on one computer recently after one of the big windows updates, something makes the video overlay not work, which affects virtualdub and other capture apps that use it. It seemed to have something to do with the nvidia graphics card, when connecting the monitor to the integrated graphics things worked better. It may help to select the "preview/display with filters"(depending on version) option under the "video" menu, then under "device -> device settings" set "save current display mode as default" and then restart virtualdub.
Alternatively, you could try with AmarecTV instead and see if it works as it doesn't use overlay by default. It's a bit more clunky to use though.