You have to unzip the main zip file (ex. "uddeIM_4.0_j30_unzip1st.zip") and then to install individual zip files included within.
However I have another issue. After installation uddeim plugin I can't open any CB option from menu - it simply doesn't work, I can see only this information below
There is a problem with the uddeim.xml file found in com_uddeim_j30.zip. Two statements to install uddeimlib38.php and admin.uddeimlib38.php are missing and cause installation failure. All of the other modules and plugins install properly, but when the com zip file tries to install, it will fail with a white screen or the errors seen elsewhere in this post.
This is a simple fix by unzipping com.uddeim_j30.zip and editing the uddeim.xml file by adding <filename>uddeimlib38.php</filename> to the bottom of the <folder>site</folder> list and <filename>admin.uddeimlib38.php</filename> to the bottom of the <folder>sql</folder> list.
The result should look like this for the site list: <filename>uddeimlib33.php</filename> <filename>uddeimlib38.php</filename>
<filename>userlists.php</filename>
</files>
And the sql folder list: <filename>admin.uddeimlib33.php</filename> <filename>admin.uddeimlib38.php</filename>
<filename>admin.usersettings.php</filename>
<filename>config.class.php</filename>
<filename>config.xml</filename>
<filename>index.html</filename>
<filename>toolbar.uddeim.php</filename>
</files>
Zip it all back up and it should install properly.
An option would be to unzip the install file in the site/tmp directory, edit there and install from folder.
Hope this helps someone; it drove me nuts for a while until I discovered what was causing it.