This plugin is great it allows you to upload a file using WLW which comes in handy just for posts like this one.  It has a small footprint and is easy to use.  There are a certain list of files that you can automatically upload via XPI before you have to jump to FTP but it is a pretty comprehensive list.  To be safe just always upload a .zip file.  The list can be found in the file at /wp-includes/functions.php at line 1069 or so, you can add to this list if you want to.