Hiding viruses in zipped documents is old-school: way, way back in 2003, Norah Jones swept the Grammys, Chicago swept the Oscars, and the Mydoom e-mail worm swept through networks around the world by hiding in ZIP files. Antivirus programs have wised up since then and developed appropriate countermeasures for scanning zipped files before they're decompressed, but those programs can't help if you don't enlist their aid.
Most good antivirus programs will scan zipped e-mail attachments as they arrive, so make sure you adjust your settings accordingly. Another smart way to remain vigilant is by disabling Hide extensions for known file types in Windows. (That way you'll know that, for example, party.jpg.zip is a suspicious ZIP file and not just some innocent photo.)