.MZZ File

File extension mzz is associated with Microsoft .NET Framework, a run-time environment for running programs in Microsoft Windows operating system.

MZZ is a compression format used for distribution of .NET installer. Its probably similar to CAB format used in Windows.

Files with mzz extension are in most cases Microsoft .NET Framework installation packages. 

How to open:

Universal Extractor should be able to access the contents of MZZ format, however these files are meant to be used during .NET installation and not be opened manually.

How to convert:

It is unlikely that you can convert *.mzz files to anything else.