Ah – I think the .exe installs the stack of required apps (e.g., MySQL), so since I already had MySQL running, that was the wrong way to go.
The .zip uses the existing MySQL installation.
So that's what I've managed to infer. I'd still like to know more about what's included in this Zip.
Also, I thought I was going to be running Alfresco under my IIS docroot, but it looks like Alfresco uses another service entirely – on Port 8080, which is a real bummer since my users are going to be behind restrictive firewalls a lot of the time.