The name of the Zip file really has not bearing on the name of the file it unzips to.  To install DNN do the following.

1) Create the virtual directory you want to use for your DNN web site.
2) Unzip the files in DotNetNuke_3.3.2_Source.zip to the directory that was created.
3) Access the site using the URL http://localhost/{DNN Virtual Directory}
4) Site should install and run now using the URL above.

Note:  Yuo will need to update any solution files so they point to the new URL instead of the default directory, and you will also need to update the DotNetNuke webinfo file so it points to the new URL also before you will be able to open the project in VS.

Good catch Sebastian, I should have caught that and mentioned it