Unzipping EDA.zip will result in a folder called EDA. Inside the folder, there is a subfolder that is also called EDA. This is the folder that needs to be placed in the main Mathematica directory. It can be placed either under $BaseDirectory or $UserBaseDirectory. You can 
do so by evaluating:

SystemOpen[FileNameJoin[{$BaseDirectory,"Applications"}]]

This opens the directory $BaseDirectory\Applications. Place the EDA 
folder under Applications, then re-launch Mathematica. You can then load 
the EDA package:

Needs["EDA`"]

If you would like to access the Documentation Center for EDA, please go to the Mathematica top-level menu Help -> Documentation Center. Click "Add-Ons and Packages" at the bottom-left of the main Documentation Center page. "Experimental Data Analyst" should be on the list of installed add-ons.