Try this, then:
SELECT Z_CountryCode As Region, COUNT (*)
FROM (SELECT DISTINCT
USERS_LEADSYS_DOMESTIC_ZIPS.Z_CountryCode AS Region,
USERS_DOWNLOADS.U_ID, USERS_DOWNLOADS.F_ID,
USERS_DOWNLOADS.P_ID
FROM
USERS_USERS U INNER JOIN
USERS_LEADSYS_DOMESTIC_ZIPS ON
CONVERT(int, U.U_Zip) BETWEEN
USERS_LEADSYS_DOMESTIC_ZIPS.Z_Start AND
USERS_LEADSYS_DOMESTIC_ZIPS.Z_End INNER JOIN
USERS_DOWNLOADS ON
U.U_ID = USERS_DOWNLOADS.U_ID INNER JOIN
PRODUCTS_PRODUCTS ON
USERS_DOWNLOADS.P_ID = PRODUCTS_PRODUCTS.P_ID
) As T
Group By Z_CountryCode;