KG's rosters are not the Ultimate Rosters;those are a different set.
Unzipping the file is your problem.I use WinRAR and extract the files to any location I choose,if the roster file is in with a larger zip file.Most roster saves do not need this extra step,though.
If you download KGs' roster 4.2 for Xbox,you won't have to unzip or extract anything.You may need to delete the datelinfo.xbx file from the save,however,as that file often leads to a save being unusable or damaged when trying to load in game.You can do this by double clicking on the zip file,double clicking on the UDATA file and then selecting the datelinfo.xbx file for deletion.
Again,unzipping these files makes them unusable.