This seems like a bug to me. I'm using zdesktop_0_91_build_1338_win32.exe
I downloaded Zimbra Desktop but the download was not complete. I only had ~20MB of the installer. When I attempted to install Zimbra Desktop, the installer got partway through the install and failed with a poor error message, "Unable to create 'zimbraim.jar'.
It seems like the installer should be able to make sure the install file is complete before beginning the install.