The Gunreal folder goes in the root UT2004 folder, not UT2004/Content. (unless that's an engine trick I don't know about. Gunreal has its packages stored in Gunreal/Content rather than Gunreal/Textures(etc), but that's just packages, not everything)
Btw, if you don't have an extract button, try this: when you open the zip file, you should hopefully see a lone Gunreal folder sitting there, kind of like this:
Just drag-n-drop that folder into the UT2004 folder.
If, when you open the zip, you just see a huge jumble of random files, you're either going to have to find some kind of Extract button, maybe buried in a menu or something (make sure you don't select any of the files before choosing Extract, or it will only extract those files), or find an option to view the zip file with the full folder hierarchy, so you see everything in the right folders, and not just jumbled together on the first screen.
