If the file is part of a split set (e.g., yourfile.z22), you cannot open it alone. You must have all preceding parts (.z01 through .z21) and the final .zip file in the same folder.
While "AZ22AZ" is not a common consumer file, it likely refers to one of the following technical categories:
Always open the file ending in .zip using a tool like 7-Zip or WinZip . The software will automatically pull data from the .z22 segment.