The downloaded zip file must have a file name NaturalTreeExpansion_0.2.0.zip. If you've downloaded from GitHub, it may have a different name. In this case, renaming the zip file in question in C:\Users\<Your username>\AppData\Roaming\Factorio\mods to the correct name should work on Windows.
Or, deleting the zip file and downloading from this site or via Factorio should work, too.
