The EXE file is the installer 'bootstrap' utility, and the 7Z file contains the software package itself (the resources and the full installation program). You don't need to do anything with the 7Z file, as the bootstrap will unpack it automatically. It's used instead of ZIP because the 7ZIP compression is more efficient for the type of files being downloaded.
Deleting it would be unwise, though the app will keep running. Adobe are fast getting rid of old downloads. Assume you will NEVER be able to get it again. Now imagine your computer disk has failed and you have a new one. Make sure all your downloads are SAFE - which means in more places than on your computer. Computer faults are expensive enough without having to buy all your apps again too!