Skyline does not normally try to find the .raw files when you open a document. Can you attach a screenshot of the error message you are seeing?
If you open a Skyline document, and Skyline tells you that it cannot find the raw data, that is probably because there is something wrong with the .skyd file. The .skyd file contains extracted chromatograms, and the .sky file contains peptide lists, peak areas, etc. The .sky file says which raw files are supposed to be in it, and, if Skyline does not see chromatograms from those files inside of the .skyd file, then Skyline will tell you that it cannot find the .raw files.
Normally, after chromatograms have been extracted, you no longer need access to the .raw files. The only exceptions are:
1. Clicking on a chromatogram to look at a particular spectrum
2. Edit > Manage Results > Reimport
3. You delete your .skyd file
In these cases, Skyline first tries to look for the .raw file in its original location, but, if Skyline does not find the .raw file there, Skyline will also look in the same directory as the .sky file.
Anyway, it sounds like you probably only copied the .sky file and did not get the .skyd file that goes along with it. If you want to move a Skyline document between computers, you should use the menu item:
File > Share > (complete)
to create a .zip file containing the Skyline document (.sky file) extracted chromatograms (.skyd file) as well as all other supporting files (.blib files, etc).
I do not believe that Skyline (or rather, ProteoWizard) knows how to read anything from .zip files. It sounds like you might want to try using filesystem compression, which causes the files to use less space on disk, but they look like regular files to everyone else. Here's a page that talks about how to do that on Windows:
https://www.howtogeek.com/133264/how-to-use-ntfs-compression-and-when-you-might-want-to/
There are similar things that you can do on Linux.