Before you download:
- Click on the file you would like to download from the members area.
- When the File Download dialogue appears, click SAVE
- Once the Save As dialogue appears:
  In the "File name" field, delete the .zip at the end, and type .ipsw
  In the "Save as type" field, select "All files" from the drop down menu
- Click Save

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If you already have downloaded the files, and they got saved as a ".zip" file:

Open any folder on your computer, lets say "My Documents"
Press "Alt" on your keyboard and click "Tools"
Select "Folder Options" from the drop down Menu

Now, from the "View" tab, scroll down and UNCHECK "Hide extensions for known file types" and click "OK"

Now, go to the firmware file you downloaded, right click on it.
Select "Rename" from the drop-down menu.

At the end of the file name, there will be a period "." followed by "zip"
Erase the "zip" and type "ipsw" -  DO NOT erase the period "."
The icon should change to a box shape like the icon to the right in the picture below