Well, if you were unable to create a new folder in the game's folder I'd guess winzip would be unable to add the extracted files to it, did you try to run it with admin rights?
If you can't get admin rights, then the only option is to put the mod in the appdata folder, it should work, where exactly did you put the file?
Also, can you find the file called ufoconsole.log (see the FAQ I linked above), and may I have a look at it?