The easiest way for you would be to find an existing php-cgi executable from some package, project or application already installed on your OS. For example with the "sudo find / -name php-cgi" command you can search your whole filesystem for php-cgi binary already installed somewhere. On my Ububntu it found these:
/usr/bin/php-cgi
/etc/alternatives/php-cgi
/var/lib/dpkg/alternatives/php-cgi
So I've executed:
/etc/alternatives/php-cgi -i > phpinfo.html
google-chrome phpinfo.html
To check what version of PHP that was and what extensions it has enabled by default. Turns out it has lots of extensions enabled and it includes the ZIP extension you're looking for. So the steps to make it work would be to copy that php-cgi to phpdesktop directory and point to it by editing settings.json "cgi_interpreter" option. I suggest you do the same on your OS and you should have it working in no time.