Most downloaded games are packed into some sort of "archive" as a single file - many files and folders can be packed into a single archive, making it convenient for sharing.
A popular freeware program which handles many types of archive files can be downloaded from here:
You must be registered to see the links
Install that program, then you will be able to right-mouse-button click on the .rar file and select 7-Zip -> Extract ... (whichever choice you want) for the game files to be written onto your drive in the placement needed to play the game.