Winrar is like Winzip, where many files can be put into one 'box' and uploaded/downloaded that way. To open the 'box' ( a .rar file ) you need a software which does the job.
To open a .rar file you need winrar which can be found at
Rarlabs.com.
Install that, then you can right-click the .rar file and choose 'extract here' which will take everything from the box and place it in the same folder so you can use the files.