WinRAR is shareware, it will nag and nag and I think it might even expire after a certain number of days. Let me recommend 7zip, it's a multi-format compression utility which is freeware. It's nice because it loads right into your Windows shell so you can just right click a file and choose your extraction options (WinRAR does this too actually, but I think 7zip covers more formats; it's more than just a RAR utility, it's a tool for almost any form of file compression).
Once you extract it, follow the instructions per keys61 to get stuff into the correct folder(s).
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