Have downloaded CiviCRM 4.6 for Wordpress from CiviCRM website. Went to Wordpress "add new Plugins" "Upload" and instructions say to locate (from plugin "add new") zip file but my civiCRM download did not include a zip file?
The version of CiviCRM for Wordpress that can be downloaded here: https://civicrm.org/download/list is a .zip file - if your initial download isn't a zip, check that you've downloaded the right version (e.g. the Drupal version is .tar.gz file).
That .zip file is what Wordpress is looking for - however, it's probably wiser to follow the instructions at http://wiki.civicrm.org/confluence/display/CRMDOC/Installing+CiviCRM+for+WordPress as @petednz-fuzion mentions.
The instructions recommend uploading the CiviCRM .zip to your WordPress plugin folder and then extracting the files - Wordpress' internal plugin installation process can manage this, but there are additional steps that WordPress will miss. (This is why CiviCRM isn't available in the Wordpress plugins listing - the installation isn't completely automatic)