Move them unzipped into mame\flyers\flyers for the scan and then move them back unzipped into mame\flyers for frontend use. png already compresses the size down so there's no point to having them zipped.
Edit: you might also be able to just have them unzipped in mame/flyers for the scan and then point ClrMame to your mame folder but I'm not sure, it acted screwy when I tried it that way and I'm not sure where the fault was.