I have this folder in /Applications :
What is it for?
No idea, it is not directly Keyboard Maestro’s.
Where is the folder (holding the command key down and clicking on it or pressing return or some such should show it’s path or reveal where it is).
Well it is in /Applications and inside the folder is just a zip file, I guess I can unzip it to see but wonder if that will mess km up in any way
No, it is nothing to do with Keyboard Maestro per se. Maybe a macro, or maybe some other application, but Keyboard Maestro does not directly create any such folder (and generally the Applications folder is not modifiable by non-admin users anyway, so I would never store stuff there).