The files are saved in .zip format, but the original OS in which these files were created is MacOS.
_' is the 'resource fork' part of a file as used by MacOS. There is one for each data file on a Mac. They hold metadata about the file such as the date it was last opened.
More information about this resource fork file:
If you're not aware of this distinction, you may accidentally unzip the wrong file and attempt to open it in Photoshop, to which you may see an error like this:
There should be two files in the unzipped contents - one of them should not have a "._" prefix. Please re-download and extract the file. If you are previewing the file before extracting, please choose the file without the preceding "_", and you can throw away the "._" file once you have the correct PSD file extracted.